Cross-Sectional and Time-Series Determinants of Momentum Returns

By Narasimhan Jegadeesh, Sheridan Titman. 2002

267 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/3005f14510e08f1a0ec8d22336c766f5acf0d1d6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Wing-Keung Wong
2. Hooi Hooi Lean
3. Yuliya Plyakha
4. Raman Uppal
5. W. Fong
6. Grigory Vilkov
7. Raymond H. Chan

In Finance

1. Wing-Keung Wong
2. Hooi Hooi Lean
3. Raman Uppal
4. Yuliya Plyakha
5. Grigory Vilkov
6. W. Fong
7. Victor DeMiguel
8. Raymond H. Chan

Citations in the corpus

• Behavioural Finance: A Review and Synthesis (2007, unknown): “The enduring puzzle has been the issue of why acquiring firms do not earn superior returns after the takeover activity, while targets do (the evidence is well-summarised in early work by Jensen and Ruback (1983), Bradley et al.”
• International momentum strategies: a stochastic dominance approach (2005, background): “Jegadeesh and Titman (2002) also show that differences in unconditional expected returns cannot explain momentum profits.”
• Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2015, background): “Jegadeesh (1990) and Jegadeesh and Titman (1993, 2002) have shown that there is a relation between stock returns and momentum when looking at the extreme deciles.”
• The Illusory Nature of Momentum Profits (2004, unknown): “Jegadeesh and Titman (2002) reject the Conrad and Kaul explanation that momentum strategy profitability is due merely to cross-sectional variation in individual mean returns on the basis of small sample biases.”