1 论文标题 Momentum

2 作者信息 Narasimhan Jegadeesh
Emory
Sheridan Titman
University of Texas and the NBER

3 出处和链接http://ssrn.com/abstract=1919226


4 摘要 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.

心得： 本文讨论的是股票市场中的momentum. 早在93年 Jegadeesh, N. and Titma就写了一篇经典的文章Returns to buying winners and selling losers: Implications
for stock market efficiency'论述股价中的trend。时隔近10年，2001年，他们又写了一篇Profitability of momentum strategies: An evaluation of
alternative explanations'应用新的10年的数据发现trend依然存在。又过了10年，他们又利用新的数据来研究momentum。就是上面这个working paper