Profitability of Momentum Strategies : An Evaluation of Alternatives Explanations  

Oleh:

Jegadeesh, Narasimhan ; Titman, Sheridan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 699-620.
Topik: probability; rates of return; studies; securities markets; investment policy
Fulltext: p 699.pdf (390.49KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Many portfolio managers and stock analysts subscribe to the view that momentum strategies yield significant profits. This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990s, suggesting that the original results were not a product of data snooping bias. The paper also examines the predictions of recent behavioral models that propose that momentum profits are due to delayed overreactions that are eventually reversed. The evidence provides support for the behavioral models, but this support should be tempered with caution.

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