Momentum and Autocorrelation in Stock Returns

By J. Lewellen. 2002

477 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c1beb3f4001492b9c07daf5888655d32b28133b0

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Citations in the corpus

Style investing, comovement and return predictability. (2013, unknown): “Barberis and Shleifer (2003) argue that the evidence in Moskowitz and Grinblatt (1999), Lewellen (2002), and Haugen and Baker (1996) is consistent with the profitability of style-level momentum (see also Teo and Woo, 2004).”
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, methodology): “stocks (not reported in the paper), we find that C is close to zero, and thus the autocovariances again explain most of the profitability of the contrarian portfolio. The difference between our results and those of Lo and MacKinlay (1990) may be explained by the fact that we consider only stocks tha”
Momentum and mean reversion across national equity markets (2006, background): “On the contrary, the work of Jegadeesh and Titman (1993), Chan et al. (1996, 2000), Rouwenhorst (1998), Grundy and Martin (2001), Jegadeesh and Titman (2001), Lewellen (2002) , Patro and Wu (2004) and others reveals that a momentum strategy of sorting (portfolios of) firms by previous returns and h”
Time Series Momentum (2012, methodology): “…(Barberis, Shleifer, and Vishny, 1998; Tversky and Kahneman, 1974), herding (Bikhchandani, Hirshleifer, and Welch, 1992), or general sentiment (Baker and Wurgler, 2006, 2007). time series and cross-sectional momentum strategy following the framework of Lo and Mackinlay (1990) and Lewellen (2002).”
Style momentum within the S&P-500 index (2004, methodology): “Lewellen (2002) uses the same CRSP data set as Chen.”
Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “Based on the sample composition, sample period, and data frequency, a wide range of results have been reported from negative to positive autocorrelation (Campbell et al. [1], Campbell et al. [2], Lewellen [3], and Lo and MacKinlay [4]).”
Style Effects in the Cross-Section of Stock Returns (2004, unknown): “Lewellen (2002) finds that momentum strategies based on size and book-to-market portfolios are at least as profitable as individual stock momentum.”
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? (2018, methodology): “Interestingly, the returns to CSTVM are 13 Conrad and Kaul (1998) and Lewellen (2002) also examine the performance of CS strategies with individual stocks using LM (1990) weights. identical to those of TS.”
Is momentum really momentum (2012, background): “Lewellen (2002) shows that these strategies are distinct from industry momentum strategies, which cannot explain their profits (see also Chen and De Bondt, 2004).”