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Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

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Author Info
Narasimhan Jegadeesh
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. Copyright The American Finance Association 2001.

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Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 56 (2001)
Issue (Month): 2 (04)
Pages: 699-720
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Handle: RePEc:bla:jfinan:v:56:y:2001:i:2:p:699-720

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This page was last updated on 2009-11-12.

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