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Momentum Across Time & Asset Classes

The academic study of price momentum has intensified considerably since 1993, the year Narasimhan Jegadeesh and Sheridan Titman’s paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” appeared in The Journal of Finance. The authors found that buying winning stocks and selling losers generated significant positive returns over three- to 12-month ownership.

A recent contribution to the body of literature exploring various aspects of price momentum is a May 2015 study from Christopher Geczy and Mikhail Samonov, “215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks).”

Read the rest of the article on ETF.com.

 

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