00Thaler_FM i-xxvi.qxd

Dechow, Patricia, Amy Hutton, W. Richard Sloan, 2000, The relation between affil- iated analyst’s long-term earnings forecasts a ...

Lin, Hsiou-wei, 1998, Underwriting Relationships and Analysts’ Earnings Forecasts and Investment Recommendations, Journal of Acc ...

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Chapter 10 MOMENTUM Narasimhan Jegadeesh and Sheridan Titman A growing bodyof literature documents evidence of stock return pre- ...

from a number of less developed stock markets also exhibit momentum, (see Rouwenhorst 1999, and Chui, Titman, and Wei 2000), alt ...

1 .The Momentum Evidence If stock prices either overreact or underreact to information, then profitable trading strategies that ...

Table 10.1 Momentum Portfolio Returns This table forms momentum portfolios based on past J-month returns and holds them for K mo ...

9 Sell 0.77 0.65 0.71 0.82 0.58 0.58 0.66 0.78 (1.47) (1.29) (1.43) (1.66) (1.13) (1.15) (1.34) (1.59) 9 Buy 1.86 1.86 1.76 1.64 ...

most successful zero-cost strategy selects stocks based on their returns over the previous twelve months and then holds the port ...

Table 10.2 Momentum Portfolio Returns: European Evidence At the end of each month all stocks are ranked in ascending order based ...

360 JEGADEESH AND TITMAN Table 10.3 Momentum Portfolio Returns in January and Outside January This table presents the average mo ...

single-factor model to formally examine the contribution of these sources of momentum profits:^3 where μiis the unconditional ex ...

Given the one-factor model defined in (1), the WRSS profits given in (2) can be decomposed into the following three terms: (3) W ...

be smaller than the average stock in the sample because smaller firms have more volatile returns, and are thus more likely to be ...

lower B/M ratios than the losers. Therefore, the SMB and HML sensitivi- ties of losers are larger than that for the winners. Ove ...

the risk-free rate except for the zero investment P1–P10 portfolio) on the monthly returns of both the value-weighted index less ...

B. Serial Covariance of Factor Returns JT examine whether the serial covariance of factor returns, the second term in the decomp ...

The WRSS profits under this model is: (6) where, (7) and, are the cross-sectional averages of β0,iand β1,i, respectively. Eq. (6 ...

negative slope coefficient indicates that the momentum profits are lower following large factor realizations. Therefore, the mar ...

Table 10.6 Real and Random Industry Momentum Strategies Each month t, all NYSE and AMEX stocks are assigned to 1 of 20 industry ...