The Momentum Trading Strategy

K. C. John Wei; Linti Zhang

doi:10.1007/978-3-030-91231-4_46

The Momentum Trading Strategy

Research output: Chapter in book / Conference proceeding › Chapter in an edited book (as author) › Academic research › peer-review

Abstract

A cross-sectional momentum strategy that buys past winners and simultaneously sells past losers based on stock performance in the past 3–12 months is profitable in the USA and many international markets. The profitability of the crosssectional momentum strategy varies across firms, countries, and market states. Recent studies find that a time-series momentum strategy that longs securities with positive excess returns in the previous 12 months and shorts securities otherwise also generates persistent and high profits. This survey entry reviews the literature on the momentum strategies and the possible explanations for the momentum profitability.

Original language	English
Title of host publication	Encyclopedia of Finance, Third Edition
Publisher	Springer International Publishing AG
Pages	1109-1121
Number of pages	13
ISBN (Electronic)	9783030912314
ISBN (Print)	9783030912307
DOIs	https://doi.org/10.1007/978-3-030-91231-4_46
Publication status	Published - 1 Jan 2022

Keywords

Conservatism
Gradual information diffusion
Individual momentum
Individualism
Industrial momentum
International momentum
Intraday momentum
Momentum strategy
Overconfidence
Overreaction
Past losers
Past winners
Representative heuristic
Self-attribution
Time-series momentum
Underreaction
Valuation Uncertainty

ASJC Scopus subject areas

General Economics,Econometrics and Finance
General Business,Management and Accounting

More information

10.1007/978-3-030-91231-4_46

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KW - Industrial momentum

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KW - Intraday momentum

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KW - Overconfidence

KW - Overreaction

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KW - Past winners

KW - Representative heuristic

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ER -

The Momentum Trading Strategy

Abstract

Keywords

ASJC Scopus subject areas

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