TY  - JOUR
AU  - Jegadeesh,Narasimhan
AU  - Titman,Sheridan
TI  - Profitability of Momentum Strategies:  An Evaluation of Alternative Explanations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7159
PY  - 1999
Y2  - June 1999
UR  - http://www.nber.org/papers/w7159
L1  - http://www.nber.org/papers/w7159.pdf
N1  - Author contact info:
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

Sheridan Titman
Finance Department
McCombs School of Business
University of Texas at Austin
Austin, TX 78712-1179
Tel: 512/232-2787
Fax: 512/471-5073
E-Mail: titman@mail.utexas.edu
AB  - 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.
ER  -