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Cross-Sectional and Time-Series Determinants of Momentum Returns*

* This paper is a replication of an original study

Author

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  • Narasimhan Jegadeesh
Abstract
Portfolio strategies that buy stocks with high returns over the previous 3--12 months and sell stocks with low returns over this same time period perform well over the following 12 months. A recent article by Conrad and Kaul (1998) presents striking evidence suggesting that the momentum profits are attributable to cross-sectional differences in expected returns rather than to any time-series dependence in returns. This article shows that Conrad and Kaul reach this conclusion because they do not take into account the small sample biases in their tests and bootstrap experiments. Our unbiased empirical tests indicate that cross-sectional differences in expected returns explain very little, if any, of the momentum profits. Copyright 2002, Oxford University Press.

Suggested Citation

  • Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
    • Handle: RePEc:oup:rfinst:v:15:y:2002:i:1:p:143-157
    as

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    Replication

    This item is a replication of:
  • Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.

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    1. Cross-Sectional and Time-Series Determinants of Momentum Returns (Review of Financial Studies 2002) in ReplicationWiki

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