Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
Top Cited Papers
- 1 April 2001
- journal article
- research article
- Published by Wiley in The Journal of Finance
- Vol. 56 (2) , 699-720
- https://doi.org/10.1111/0022-1082.00342
Abstract
This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990s, suggesting that the original results were not a product of data snooping bias. The paper also examines the predictions of recent behavioral models that propose that momentum profits are due to delayed overreactions that are eventually reversed. Our evidence provides support for the behavioral models, but this support should be tempered with caution.Keywords
This publication has 21 references indexed in Scilit:
- Characteristics, Covariances, and Average Returns: 1929 to 1997The Journal of Finance, 2000
- Investor Psychology and Security Market Under‐ and OverreactionsThe Journal of Finance, 1998
- A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1Journal of Financial Economics, 1998
- An Anatomy of Trading StrategiesThe Review of Financial Studies, 1998
- The Interaction of Value and Momentum StrategiesCFA Magazine, 1997
- Momentum StrategiesThe Journal of Finance, 1996
- Long‐Term Market Overreaction or Biases in Computed Returns?The Journal of Finance, 1993
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Does the Stock Market Overreact?The Journal of Finance, 1985
- The relationship between return and market value of common stocksJournal of Financial Economics, 1981