Finance professors who documented stock momentum
Narasimhan Jegadeesh & Sheridan Titman
Narasimhan Jegadeesh (Emory University) and Sheridan Titman (McCombs School of Business, University of Texas at Austin) wrote their landmark momentum paper at UCLA's Anderson School, with Titman also at HKUST. Their 1993 Journal of Finance paper is the standard reference for cross-sectional stock momentum. In 2022 they received the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for it.
What they argue
- Buying stocks that did well over the past 3–12 months and selling those that did poorly earned significant positive returns in U.S. data from 1965 to 1989.
- Those returns are not explained by systematic risk or delayed reactions to common factors, and part of the first-year gain reverses over the next two years.
- In 2001 they showed momentum profits continued through the 1990s, which argues against data snooping and fits behavioural explanations based on delayed overreaction.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48(1): 65–91 (1993)
- Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, Journal of Finance 56(2): 699–720 (2001)
12-1 momentum (single stock)
Rule and full recordMomentum · month-end
The classic momentum measure: the return from a year ago to a month ago. Hold the stock while it is positive.
Best risk-adjusted results against buy and hold: