Is Momentum an Echo?

Amit Goyal, Sunil Wahal

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

In the United States, momentum portfolios formed from 12 to 7 months prior to the current month deliver higher future returns than momentum portfolios formed from 6 to 2 months prior, suggesting an echo in returns. In 37 countries excluding the United States, there is no robust evidence of such an echo. In portfolios that combine securities in developed and emerging markets, or across three major geographic regions (Americas excluding United States, Asia, and Europe), there is also no evidence of an echo. Any echo in the United States appears to be driven largely by a carryover of short-term reversals from month - 2.

Original languageEnglish (US)
Pages (from-to)1237-1267
Number of pages31
JournalJournal of Financial and Quantitative Analysis
Volume50
Issue number6
DOIs
StatePublished - Jan 26 2016

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Momentum
Asia
Geographic regions
Reversal
Emerging markets

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Is Momentum an Echo? / Goyal, Amit; Wahal, Sunil.

In: Journal of Financial and Quantitative Analysis, Vol. 50, No. 6, 26.01.2016, p. 1237-1267.

Research output: Contribution to journalArticle

Goyal, Amit ; Wahal, Sunil. / Is Momentum an Echo?. In: Journal of Financial and Quantitative Analysis. 2016 ; Vol. 50, No. 6. pp. 1237-1267.
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