| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7159 |
| 来源ID | Working Paper 7159 |
| Profitability of Momentum Strategies: An Evaluation of Alternative Explanations | |
| Narasimhan Jegadeesh; Sheridan Titman | |
| 发表日期 | 1999-06-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | 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 1990's 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 which are eventually reversed. Our evidence provides support for the behavioral models, but this support should be tempered with caution. Although we find no evidence of significant return reversals in the 2 to 3 years following the following formation date, there are significant return reversals 4 to 5 years after the formation date. Our analysis of post-hiding period returns sharply rejects a claim in the literature that the observed momentum profits can be explained completely by the cross-sectional dispersion in expected returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w7159 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564694 |
| 推荐引用方式 GB/T 7714 | Narasimhan Jegadeesh,Sheridan Titman. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7159.pdf（347KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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