Evidence of Predictable Behavior of Security Returns

By Narasimhan Jegadeesh. 1990

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Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, background): “Moreover, the regression coefﬁcients of the logistic regression model suggest the capitalization on short-term mean reversion—a well-documented phenomena in the ﬁnance literature (see Jegadeesh 1990; Lehmann 1990).”
Using Structured Events to Predict Stock Price Movement: An Empirical Investigation (2014, background): “However, with advances of AI, it has been shown empirically that stock price movement is predictable (Bondt and Thaler, 1985; Jegadeesh, 1990; Lo and MacKinlay, 1990; Jegadeesh and Titman, 1993).”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “In addition, we include the prior month’s return (Jegadeesh (1990)) that is associated with the pricing of 13We thank an anonymous referee for suggesting this test. idiosyncratic volatility (Huang et al. (2009)).”
Economic Links and Predictable Returns (2008, background): “These variables control for the reversal effect of Jegadeesh (1990) and for the price momentum effect of Jegadeesh and Titman (1993).”
Speculative Retail Trading and Asset Prices (2013, unknown): “Furthermore, the characteristics of the retail clienteles of high-RTP stocks are remarkably similar to the characteristics of investors who are attracted to lottery-type stocks (Kumar (2009)).”
Overreaction to Intra-Industry Information Transfers? (2008, unknown): “In effect the coefficients on RESP, PRERET, and ARET capture the overreaction due to the Jegadeesh (1990) effect, since they are observed for pseudo events.”
Is momentum really momentum (2012, background): “For example, Jegadeesh and Titman (1993) consider the ‘‘J/K-strategies,’’ which form portfolios based on stock performance over the previous J months (excluding the last week or month prior to portfolio formation, to remove the large short-horizon reversals associated with bid-ask bounce) and hold t”
Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, background): “Return reversal is clearly an important determinant of the cross-section of returns: The coe¢ cient on lagged return is negative and statistically signi cant, as expected (Jegadeesh (1990), Gutierrez and Kelley (2008)).”
The supraview of return predictive signals (2013, unknown): “…signal is the seventh most heavily cited RPS; and Ball and Brown’s (1968) post–earnings announcement drift signal is the ninth most heavily cited RPS. 7 Jegadeesh and Titman (1993) examine 32 RPS by varying both the number of months in their laggedreturn RPS and the number of months in the…”
Are extreme returns priced in the stock market? European evidence. (2013, unknown): “We use the return of month t-1 (LagRet) separately to control for the short-term reversal effect documented by Jegadeesh (1990).”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “…is standard in the momentum literature, to avoid the 1-month reversal in stock returns, which may be related to liquidity or microstructure issues (Jegadeesh (1990), Lo and MacKinaly (1990), Boudoukh, Richardson, and Whitelaw (1994), Asness (1994), Grinblatt and Moskowitz (2004)).8 7 While…”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Jegadeesh (1990) documents the negative impact of one lag of the return on future returns.”