ABSTRACT
Momentum refers to the tendency for past winners to continue winning while past losers continue losing. The momentum effect has been a popular issue in recent finance literature and is considered most prominent among all the stock market anomalies (Fama and French, 2008). Jegadeesh and Titman (1993) report that the momentum trading strategy of buying recent winners and selling recent losers generates an abnormal return of 1 percent per month (12 percent per year) in the US market over the period 1965 to 1989.
