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Momentum

Author

Listed:
  • Narasimhan Jegadeesh

    () (Goizueta Business School, Emory University, Atlanta, Georgia 30322)

  • Sheridan Titman

    () (Finance Department, University of Texas, Austin, Texas 78712-1179
    National Bureau of Economic Research, Cambridge, Massachusetts 02138)

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. Until recently, trading strategies that exploit this phenomenon were 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 momentum literature and discusses some of the explanations for this phenomenon.

Suggested Citation

  • Narasimhan Jegadeesh & Sheridan Titman, 2011. "Momentum," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 493-509, December.
  • Handle: RePEc:anr:refeco:v:3:y:2011:p:493-509
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144850
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    References listed on IDEAS

    as
    1. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 1065-1188, November.
    2. Gara M. Afonso & Hyun Song Shin, 2008. "Systemic risk and liquidity in payment systems," Staff Reports 352, Federal Reserve Bank of New York.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," American Economic Review, American Economic Association, pages 466-472.
    4. Igor Makarov & Guillaume Plantin, 2013. "Equilibrium Subprime Lending," Journal of Finance, American Finance Association, vol. 68(3), pages 849-879, June.
    5. Carlsson, Hans & van Damme, Eric, 1993. "Global Games and Equilibrium Selection," Econometrica, Econometric Society, vol. 61(5), pages 989-1018, September.
    6. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    7. Lucy White & Alan D. Morrison, 2002. "Crises and Capital Requirements in Banking," OFRC Working Papers Series 2002fe05, Oxford Financial Research Centre.
    8. Reinhart, Carmen M. & Rogoff, Kenneth S., 2013. "Banking crises: An equal opportunity menace," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4557-4573.
    9. Castiglionesi, F. & Navarro, N., 2007. "Optimal Fragile Financial Networks," Discussion Paper 2007-100, Tilburg University, Center for Economic Research.
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    More about this item

    Keywords

    earnings momentum; price momentum; time-varying momentum;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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