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 language | English (US) |
|---|---|
| Pages (from-to) | 1237-1267 |
| Number of pages | 31 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 50 |
| Issue number | 6 |
| DOIs | |
| State | Published - Jan 26 2016 |
Fingerprint
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 journal › Article
}
TY - JOUR
T1 - Is Momentum an Echo?
AU - Goyal, Amit
AU - Wahal, Sunil
PY - 2016/1/26
Y1 - 2016/1/26
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84959386521&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84959386521&partnerID=8YFLogxK
U2 - 10.1017/S0022109015000575
DO - 10.1017/S0022109015000575
M3 - Article
AN - SCOPUS:84959386521
VL - 50
SP - 1237
EP - 1267
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
SN - 0022-1090
IS - 6
ER -