Research Papers - Momentum

Momentum Strategies
LOUIS K. C. CHAN, NARASIMHAN JEGADEESH, and JOSEF LAKONISHOK
THE JOURKAL OF FINANCE VOL. LI, NO 5 .DECEMBER 1996

Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.
GRINBLATT, M., S. TITMAN and R. WERMERS, 1995. American Economic Review.

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.
JEGADEESH, N., S. TITMAN and M.P. PAGE, 2001. The Journal of Finance.

Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies.
HONG, H., et al., 2000. The Journal of Finance.

Price momentum and trading volume.
LEE, C.M.C. and B. SWAMINATHAN, 2000.  The Journal of Finance.

Understanding the nature of the risks and the source of the rewards to momentum investing.
GRUNDY, B.D. and J.S. MARTIN, 2001. Review of Financial Studies.

The Periodic Structure of Returns to Buying Winners and Selling Losers (November 7, 2003).
Heston, Steven L. and Sadka, Ronnie

Do Industries Explain Momentum?.
Moskowitz, T. J. and Grinblatt, M. (1999), The Journal of Finance

Momentum Investing
Tobias J. Moskowitz

Relative Strength as a Criterion for Investment Selection
Source: Levy, Robert. Journal of Finance:  Volume 22, Issue 4 (Dec., 1967), 595-610.

Stock Selection – A Test of Relative Stock Values Reported Over 17-1/2 Years
Charles D. Kirkpatrick II, CMT

An Anatomy of Trading Strategies.
Conrad, Jennifer S. and Kaul, Gautam , REVIEW OF FINANCIAL STUDIES

Rational Momentum Effects (May 2001).
Johnson, Timothy C., EFA 2001 Barcelona Meetings.

Are Momentum Profits Robust to Trading Costs?
Korajczyk, Robert A. and Sadka, Ronnie,  (April 18, 2003).
Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings.

The 52-Week High and Momentum Investing.
Hwang, Chuan-Yang and George, Thomas J.,Journal of Finance, Vol. 59, No. 5, pp. 2145-2176.

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