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Momentum profitability: the pre-CRSP evidence

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  • Xiuqing Ji

Abstract

There is tremendous interest and research on the existence and sources of momentum profitability. This article is the first to examine momentum strategy in the pre-Center for Research in Security Prices (CRSP) era. The results show that momentum is profitable during the period of 1815 to 1925. Moreover, the profits are negative in January and positive in non-January months.

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  • Xiuqing Ji, 2012. "Momentum profitability: the pre-CRSP evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1223-1226, September.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:13:p:1223-1226
    DOI: 10.1080/13504851.2011.613741
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