Momentum profitability: the pre-CRSP evidence

Xiuqing Ji

Applied Economics Letters, 2012, vol. 19, issue 13, 1223-1226

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.

Date: 2012
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DOI: 10.1080/13504851.2011.613741

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