A Synthesis on Stock Momentum
A Synthesis on Stock Momentum.pdf
By Bing Han and Jason Hsu
December 2004
ABSTRACT:
Jegadeesh and Titman (1993) popularized the notion that the momentum strategy is profitable and dominates a buy and hold strategy. The momentum strategy is simple: it buys stocks with high returns over the prior three to twelve months and sells stocks with poor returns over the same horizon. This article surveys the large and growing literature on stock momentum. We focus on interesting empirical facts about the momentum profits and various explanations for these findings.
