Momentum Strategies
LOUIS K. C. CHAN, NARASIMHAN JEGADEESH, and JOSEF LAKONISHOK
THE JOURKAL OF FINANCE VOL. LI, NO 5 .DECEMBER 1996
Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.
GRINBLATT, M., S. TITMAN and R. WERMERS, 1995. American Economic Review.
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.
JEGADEESH, N., S. TITMAN and M.P. PAGE, 2001. The Journal of Finance.
Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies.
HONG, H., et al., 2000. The Journal of Finance.
Price momentum and trading volume.
LEE, C.M.C. and B. SWAMINATHAN, 2000. The Journal of Finance.
Understanding the nature of the risks and the source of the rewards to momentum investing.
GRUNDY, B.D. and J.S. MARTIN, 2001. Review of Financial Studies.
The Periodic Structure of Returns to Buying Winners and Selling Losers (November 7, 2003).
Heston, Steven L. and Sadka, Ronnie
Do Industries Explain Momentum?.
Moskowitz, T. J. and Grinblatt, M. (1999), The Journal of Finance
Momentum Investing
Tobias J. Moskowitz
Relative Strength as a Criterion for Investment Selection
Source: Levy, Robert. Journal of Finance: Volume 22, Issue 4 (Dec., 1967), 595-610.
Stock Selection – A Test of Relative Stock Values Reported Over 17-1/2 Years
Charles D. Kirkpatrick II, CMT
An Anatomy of Trading Strategies.
Conrad, Jennifer S. and Kaul, Gautam , REVIEW OF FINANCIAL STUDIES
Rational Momentum Effects (May 2001).
Johnson, Timothy C., EFA 2001 Barcelona Meetings.
Are Momentum Profits Robust to Trading Costs?
Korajczyk, Robert A. and Sadka, Ronnie, (April 18, 2003).
Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings.
The 52-Week High and Momentum Investing.
Hwang, Chuan-Yang and George, Thomas J.,Journal of Finance, Vol. 59, No. 5, pp. 2145-2176.
2 Response to Research Papers - Momentum
Thanks for pulling all these valuable resources together in one place. These are quite useful to a momentum investor like myself.
Best regards. Keep up the great work!
No problem. I was tired of chasing them down every few months.
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