Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

摘要

This paper evaluates various explanations for the profitability of momentum strat- egies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990s, suggesting that the original re- sults were not a product of data snooping bias. The paper also examines the pre- dictions of recent behavioral models that propose that momentum profits are due to delayed overreactions that are eventually reversed. Our evidence provides sup- port for the behavioral models, but this support should be tempered with caution.