University Of Illinois Working Paper
45 Pages Posted: 5 Feb 2002
Date Written: October 23, 2001
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
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