TY  - JOUR
AU  - Chan,Louis K. C.
AU  - Jegadeesh,Narasimhan
AU  - Lakonishok,Josef
TI  - Momentum Strategies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5375
PY  - 1995
Y2  - December 1995
UR  - http://www.nber.org/papers/w5375
L1  - http://www.nber.org/papers/w5375.pdf
N1  - Author contact info:
Louis Chan
Department of Finance
University of Illinois
113 Commerce West, MC 706
1206 S. Sixth
Champaign, IL 61820
Tel: 217/333-6391
E-Mail: l-chan2@uiuc.edu

Narasimhan Jegadeesh
Goizueta Business School
Emory University
1300 Clifton Road
Suite 507
Atlanta, GA 30322
Tel: 404/727-4821
E-Mail: narasimhan_jegadeesh@bus.emory.edu

Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com
M2  - featured in NBER digest on 1996-07-01
AB  - We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news.  Past return and past earnings surprise each predict large drifts in future returns after controlling for the other.  There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum.  Market risk, size and book-to- market effects do not explain the drifts.  Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance.  The results suggest a market that responds only gradually to new information.
ER  -