Momentum
Momentum
Author(s):
Year: 2001
Paper Number:
GBS-FIN-2001-006
Goizueta Department:
Finance
Full text available as: |
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 |
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| Subjects: | Business > Finance |
| Notes: | Registration required to access full-text papers on ssrn.com. Narasimhan_Jegadeesh@bus.emory.edu Emory University - Department of Finance Atlanta , GA 30322-2710 United States |
| Deposited On: | 24 August 2005 |
| Alternative Locations: | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=299107 |
