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Momentum and Autocorrelation in Stock Returns

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Author Info
Jonathan Lewellen (MIT Sloan School of Management)
Abstract

This article studies momentum in stock returns, focusing on the role of industry, size, and book-to-market (B-M) factors. Size and B-M portfolios exhibit momentum as strong as that in individual stocks and industries. The size and B-M portfolios are well diversified, so momentum cannot be attributed to firm- or industry-specific returns. Further, industry, size, and B-M portfolios are negatively autocorrelated and cross-serially correlated over intermediate horizons. The evidence suggests that stocks covary "too strongly" with each other. I argue that excess covariance, not underreaction, explains momentum in the portfolios. Copyright 2002, Oxford University Press.

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Publisher Info
Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 15 (2002)
Issue (Month): 2 (March)
Pages: 533-564
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Handle: RePEc:oup:rfinst:v:15:y:2002:i:2:p:533-564

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  1. Ericsson, Johan & González, Andrés, 2003. "Is Momentum Due to Data-Snooping?," Working Paper Series in Economics and Finance 536, Stockholm School of Economics. [Downloadable!]
  2. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. John. Cochrane & Francis Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced By Market Clearing," University of California at Los Angeles, Anderson Graduate School of Management 1248, Anderson Graduate School of Management, UCLA. [Downloadable!]
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