Momentum

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"Value strategies work, in general, but are strongest among low-momentum (loser) stocks and weakest among high-momentum (winner) stocks. The momentum strategy works, in general, but is particularly strong among low-value (expensive) stocks."
Asness (1997)

"Higher abnormal returns can be achieved by applying an earnings momentum strategy to stocks with a low dispersion."
Dische (2001)

"First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners."
Hong, Lim and Stein (1999)

Top Papers

1. CHAN, K., et al., 2000. Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis. [Cited by 41]
2. CHUI, A.C.W., S. TITMAN and K.C.J. WEI, 2000. Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets. University of Texas at Austin working paper. [Cited by 20]
3. CONNOLLY, R. and C. STIVERS, 2003. Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return …. The Journal of Finance. [Cited by 11]
4. CAGINALP, G. and D. BALENOVICH, 1999. Asset Flow and Momentum: Deterministic and Stochastic Equations.. Phil. Trans. Royal Soc. London. [Cited by 7]
5. BLAU, W., 1995. Momentum, direction, and divergence. print.google.com. [Cited by 5]
6. OKUNEV, J. and D. WHITE, 2003. Do Momentum-Based Strategies Still Work in Foreign Currency Markets. Journal of Financial and Quantitative Analysis. [Cited by 4]
7. MORRIN, M., et al., 2002. Taking Stock of Stockbrokers: Exploring Momentum versus Contrarian Investor Strategies and Profiles. Journal of Consumer Research. [Cited by 4]
8. CHAN, L.K., N. JEGADEESH and J. LAKONISHOK, 1996. Momentum strategy. Journal of Finance. [Cited by 2]
9. SCOTT, J., M. STUMPP and P. XU, 2003. News, Not Trading Volume, Builds Momentum. Financial Analysts Journal. [Cited by 1]

• 1997, CUSUM Techniques for Technical Trading in Financial Market
• Optimization of Trading Rules with a Penalty Term for Increased Risk-Adjusted Performance
• Price Momentum and Trading Volume
• ADAMS, Charles, et al., 1998. Dynamics of Asset Prices Around Large Price Changes [3]
• ASNESS, Clifford S., The Interaction of Value and Momentum Strategies [about 32]
• ATCHISON, Michael D., Kirt C. BUTLER and Richard R. SIMONDS, 1987. Nonsynchronous Security Trading and Market Index Autocorrelation [about 27]
• BASK, Mikael, Essays on Exchange Rates: Deterministic Chaos and Technical Analysis: Introduction and Summary of Papers [about 98 (for whole document)]
• BLAU, W., 1995. Momentum, direction, and divergence. print.google.com. [Cited by 5]
• CAGINALP, G. and D. BALENOVICH, 1999. Asset Flow and Momentum: Deterministic and Stochastic Equations.. Phil. Trans. Royal Soc. London. [Cited by 7]
• CAGINALP, Gunduz, David PORTER and Vernon SMITH, 2000. Momentum and overreaction in experimental asset markets [about 28]
• CHAN, K., et al., 2000. Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis. [Cited by 41]
• CHAN, L.K., N. JEGADEESH and J. LAKONISHOK, 1996. Momentum strategy. Journal of Finance. [Cited by 2]
• CHAN, Louis K. C., Narasimhan JEGADEESH and Josef LAKONISHOK, 1996. Momentum Strategies, Journal of Finance, Volume 51, Issue 5 (Dec., 1996), 1681-1713. [about 492]
• CHENOWETH, Tim, Zoran OBRADOVI?C? and Sauchi Stephen LEE, 1996. Embedding Technical Analysis into Neural Network Based Trading Systems
• CHUI, A.C.W., S. TITMAN and K.C.J. WEI, 2000. Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets. University of Texas at Austin working paper. [Cited by 20]
• CONNOLLY, R. and C. STIVERS, 2003. Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return …. The Journal of Finance. [Cited by 11]
• CORNELL, W. Bradford and J. Kimball DIETRICH, 1976. Abstract: The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates, Journal of Financial and Quantitative Analysis, Volume 11, Issue 4, 1976 Proceedings (Nov., 1976), 641.
• CORNELL, W. Bradford and J. Kimball DIETRICH, 1978. The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates, The Review of Economics and Statistics Volume 60, Issue 1 (Feb., 1978), 111-120.
• DAMODARAN, Aswath, Charting and Technical Analysis
• Dische, 2001. Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies
• EHLERS, John, RSI Smoothing
• FAMA, Eugene F. and Marshall E. BLUME, 1966. Filter Rules and Stock-Market Trading, Journal of Business, Volume 39, Issue 1, Part 2: Supplement on Security Pricing (Jan., 1966), 226-241.
• FAMA, Eugene F., Random Walks in Stock-Market Prices
• FIESS, Norbert and Ronald MacDONALD, High Frequency Exchange Rate Forecasting
• GATEV, Evan and Stephen A. ROSS, 2000. Rebels, Conformists, Contrarians and Momentum Traders, Working Paper 7835.
• GOETZMANN, William N. and Massimo MASSA, 2000. Daily Momentum and Contrarian Behavior, Working Paper 7567.
• GRINBLATT, Mark, Sheridan TITMAN and Russ WERMERS, 1995. Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, The American Economic Review, Volume 85, Issue 5 (Dec., 1995), 1088-1105.
• HANNOVER, G., The Use of Momentum, Contrarian and Buy-&-Hold Strategies: Survey Evidence from Fund Managers. wiwi.uni-hannover.de. [not cited]
• HARVEY, Campbell R., and Akhtar SIDDIQUE, 2000. Conditional Skewness in Asset Pricing Tests
• HONG, Harrison and Jeremy C. STEIN, 1997. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
• HONG, Harrison and Jeremy C. STEIN, 1999. Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
• HONG, Harrison, Terence LIM and Jeremy C. STEIN, 1999. Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
• ILINSKAIA, Alexandra and Kirill ILINSKI, 1999. How to reconcile Market Efficiency and Technical Analysis
• ISAKOV, Dušan and Marc HOLLISTEIN, Application of simple technical trading rules to Swiss stock prices: Is it profitable?, Finanzmarkt und Portfolio Management, Vol. 13, Nº 1, 1999, pp. 9-26.
• IVANOVA, K. and L.T. WILLE, 2002. Dynamical analysis of S&P500 momentum. Arxiv preprint cond-mat/0205241. [not cited]
• JOHNSON, Timothy C., 2000. Rational Momentum Effects
• JOSHI, Shareen, Jeffrey PARKER and Mark A. BEDAU, A Prisoner's Dilemma Causes Technical Trading
• JOSHI, Shareen, Jeffrey PARKER and Mark A. BEDAU, Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model
• KANG, Joseph, Ming-Hua LIU and Sophie Xiaoyan NI, 2002. Contrarian and momentum strategies in the China stock market: 1993-2000
• LEUTHOLD, Raymond M., 1972. Random Walk and Price Trends: The Live Cattle Futures Market, Journal of Finance, Volume 27, Issue 4 (Sep., 1972), 879-889.
• LI, Jin and Edward P.K. TSANG, Improving Technical Analysis Predictions: An Application of Genetic Programming
• LIU, N. K. and K. K. LEE, An Intelligent Business Advisor System for Stock Investment
• MEISSNER, Gunter, Albin ALEX and Kai NOLTE, A Refined MACD Indicator – Evidence against the Random Walk Hypothesis?
• MORRIN, M., et al., 2002. Taking Stock of Stockbrokers: Exploring Momentum versus Contrarian Investor Strategies and Profiles. Journal of Consumer Research. [Cited by 4]
• NEELY, Christopher J., 1997. Technical Analysis in the Foreign Exchange Market: A Layman’s Guide
• NEELY, Christopher, Paul WELLER and Robert DITTMAR, 1997. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
• NG, Angela, International Finance: Class Notes 7: Exchange Rate Forecasting
• OKUNEV, J. and D. WHITE, 2003. Do Momentum-Based Strategies Still Work in Foreign Currency Markets. Journal of Financial and Quantitative Analysis. [Cited by 4]
• OSLER, C. L., Currency Orders and Exchange-Rate Dynamics: Explaining the Success of Technical Analysis
• PAN, Heping, Swingtum – A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in A Quantum Price-Time Space
• RODE, David, et al., 1995. An Evolutionary Approach to Technical Trading and Capital Market Efficiency
• SCOTT, J., M. STUMPP and P. XU, 2003. News, Not Trading Volume, Builds Momentum. Financial Analysts Journal. [Cited by 1]
• SEFTON, J. and A. SCOWCROFT, Understanding Momentum. papers.ssrn.com. [not cited]
• SERCU, P., and R. UPPAL, 1994. Ch. 15. Forecasting Exchange Rates
• SOARES, V.J.S., ESTRATEGIAS" MOMENTUM" COM MEDIAS MOVEIS NO MERCADO PORTUGUES PARA O PSI-20: 1995-2001.. hiranya.net. [not cited]
• SULLIVAN, Ryan, Allan TIMMERMANN and Halbert WHITE, 1997. DATA-SNOOPING, TECHNICAL TRADING RULE PERFORMANCE, AND THE BOOTSTRAP
• SWEENEY, Richard J., 1986. Beating the Foreign Exchange Market, Journal of Finance, Volume 41, Issue 1 (Mar., 1986), 163-182.
• SWEENEY, Richard J., 1988. Some New Filter Rule Tests: Methods and Results, Journal of Financial and Quantitative Analysis, Volume 23, Issue 3 (Sep., 1988), 285-300.
• WANG, H. and R.B. PANDEY, 2004. A momentum trading approach to technical analysis of Dow Jones industrials. Physica A. [not cited]
• WEINTRAUB, Robert E., 1963. On Speculative Prices and Random Walks A Denial, Journal of Finance, Volume 18, Issue 1 (Mar., 1963), 59-66.
• WU, Xueping, 2001. A Conditional Multifactor Analysis of Return Momentum
• XIANG, Jihong, Jia HE and Min CAO, 2002. Continuous overreaction, insiders trading activities and momentum strategies
• YAO, Jingtao, Chew Lim TAN and Hean-Lee POH, 1999. Neural Networks for Technical Analysis: A Study on KLCI
• YEUNG, Albert, et al., 2002. Quantitative Strategy : Does Technical Analysis Work?
• YOUNG, J.E., Composite Indicator Using Momentum and Trend Following Components, Provides Early Identification of …. jeyassociates.com. [not cited]
• ZIELONKA, Piotr, 2000. BIASED JUDGEMENTS ON WHAT MOVES STOCK PRICES How Financial Analysts Perceive Macroeconomic, Political News and Technical Analysis Signals
• van der Harta, Slagterb and van Dijk (2002) Stock selection strategies in emerging markets, Journal of Empirical Finance 194 (2002) 1-28