Momentum by Narasimhan Jegadeesh and Sheridan Titman
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. Up 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.
Source: Jegadeesh, Narasimhan and Titman, Sheridan , Momentum (August 29, 2011). Available at SSRN: http://ssrn.com/abstract=1919226
