Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

By Narasimhan Jegadeesh, Sheridan Titman. 1993

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Citations in the corpus

Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, background): “Momentum strategies are traditionally divided into two categories: (multivariate) cross-sectional momentum (Jegadeesh and Titman 1993; Kim 2019) and (univariate) time-series momentum (Moskowitz, Ooi, and Pedersen 2012; Baltas and Kosowski 2017).”
Using Structured Events to Predict Stock Price Movement: An Empirical Investigation (2014, background): “price movement is predictable (Bondt and Thaler, 1985; Jegadeesh, 1990; Lo and MacKinlay, 1990; Jegadeesh and Titman, 1993).”
Customer Concentration Risk and the Cost of Equity Capital (2016, methodology): “…from firm-specific monthly time-series regressions using the three-factor model described by Fama and French (1993), as well as adding both a fourth momentum factor described by Jegadeesh and Titman (1993) and Carhart (1997) and a fifth liquidity factor described by Pástor and Stambaugh (2003).”
In Short Supply: Short Sellers and Stock Returns (2015, unknown): “…ratio (BTM), following evidence in Fama and French (1992) and Haugen and Baker (1996); (3) price momentum (Momentum), following evidence in Jegadeesh and Titman (1993) that past 3 to 12 month returns tend to continue in the subsequent year; (4) the difference between earnings and cash…”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “We employ the range 1Time-series momentum strategies are genuinely different from the cross-sectional momentum strategies, “winners minus losers”, that have been heavily studied in the academic literature, starting from the works of Jegadeesh and Titman (1993, 2001) in the equity markets.”
Contextual Fundamental Analysis Through the Prediction of Extreme Returns (2001, background): “Consistent with the price momentum effect (Lee and Swaminathan (2000) and Jegadeesh and Titman (1993)), extreme losers (winners) have experienced more negative (positive) returns in the past 6 months.”
Market Valuation and Acquisition Quality: Empirical Evidence (2009, background): “price persistence as in Jegadeesh and Titman (1993), we include PreAnnRet, the mean pre-”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “…controls span contemporaneous world market index factor or Fama–French (1993) risk factors, 1-month lagged returns (Huang et al. (2009)), and 6-month momentum returns (Jegadeesh and Titman (1993)), book-to-market (Daniel and Titman (1997)), skewness (Barberis and Huang (2008)), and firm size.”
Cross-Sectional and Time-Series Determinants of Momentum Returns (2002, methodology): “…test focuses on six-month momentum strategies the length of 3 The returns from the weighted relative strength strategy are very highly correlated with the returns associated with the decile strategies examined by Jegadeesh and Titman (1993) and others. each period can be thought of as six months.”
Momentum in Australian Stock Returns (2003, methodology): “As a consequence, a result which has received relatively more recent attention is due to Jegadeesh and Titman (1993) who demonstrate that past winners outperform past losers over the intermediate horizon of three to twelve months.”
Yield Spreads as Alternative Risk Factors for Size and Book-to-Market (2006, background): “In contrast to the size and book-to-market effects, the momentum effect of Jegadeesh and Titman (1993) does not seem to arise from the business cyclerelated risks proxied by ∆def and ∆term.”
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM (2009, background): “…over time, these authors suggest that the covariation between sample estimates of betas and the market risk premium is not large enough to justify the deviations from the unconditional CAPM observed for value and momentum portfolios (Fama and French (1993); Jegadeesh and Titman (1993)).”
The Illiquidity Premium: International Evidence (2015, unknown): “18 Rc,j,t-2-4 and Rc,j,t-5-13 are lagged returns (in decimals) over the preceding 3 months and over the 9 months which precede them, to capture the momentum effect (Jegadeesh and Titman, 1993).”
A Combined Signal Approach to Technical Analysis on the S&P 500 (2011, unknown): “Some of these studies include Jegadeesh and Titman (1993), Chan, Jagadeesh, and Lakonishok (1996), Lo and MacKinlay (1997), and Rouwenhorst (1998).”
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, unknown): “A growing literature establishes that momentum strategies generate significant abnormal returns in equity markets (Jegadeesh and Titman, 1993, 2001; Chan et al ., 1996).”
Behavioral Finance: Quo Vadis? (2015, unknown): “Small firms feature more momentum than large firms (Jegadeesh and Titman, 1993; Grinblatt and Moskowitz, 1999; Lee and Swaminathan, 2000).”