The Profitability of Momentum Strategies-Reference-Cited by-同舟云学术

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The Profitability of Momentum Strategies

Published:1999-11 Issue:6 Volume:55 Page:80-90
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Chan Louis K.C.¹,Jegadeesh Narasimhan²,Lakonishok Josef³

Affiliation:

1. Louis K.C. Chan is a professor at the University of Illinois at Urbana-Champaign.

2. Narasimhan Jegadeesh is Harry A. Brandt Professor of Finance at the University of Illinois at Urbana-Champaign.

3. Josef Lakonishok is William G. Karnes Professor of Mergers and Acquisitions at the University of Illinois at Urbana-Champaign.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v55.n6.2315

Reference15 articles.

1. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

2. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

3. Momentum Strategies

4. Seasonalities in security returns

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