Download This PaperMomentum
University Of Illinois Working Paper
45 Pages Posted: 5 Feb 2002
There 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: Suggested Citation
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)
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