Momentum

Narasimhan Jegadeesh () and Sheridan Titman ()
Additional contact information
Narasimhan Jegadeesh: Goizueta Business School, Emory University, Atlanta, Georgia 30322
Sheridan Titman: Finance Department, University of Texas, Austin, Texas 78712-1179

Annual Review of Financial Economics, 2011, vol. 3, issue 1, 493-509

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.

Keywords: earnings momentum; price momentum; time-varying momentum (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2011
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