Momentum

University Of Illinois Working Paper

45 Pages Posted: 5 Feb 2002  

Narasimhan Jegadeesh

Emory University - Department of Finance

Sheridan Titman

University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: October 23, 2001

Abstract

There is substantial evidence that indicates that stocks that perform the best (worst) over a three- to 12-month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Momentum trading strategies that exploit this phenomenon have been consistently profitable in the United States and in most developed markets. Similarly, stocks with high earnings momentum outperform stocks with low earnings momentum. This article reviews the evidence of price and earnings momentum and the potential explanations for the momentum effect.

Keywords: Price momentum, earnings momentum, earnings forecast revisions, market efficiency, behavioral models

JEL Classification: G12, G14

Suggested Citation

Jegadeesh, Narasimhan and Titman, Sheridan, Momentum (October 23, 2001). University Of Illinois Working Paper. Available at SSRN: https://ssrn.com/abstract=299107 or http://dx.doi.org/10.2139/ssrn.299107

Narasimhan Jegadeesh (Contact Author)

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

Sheridan Titman

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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