TY - JOUR
T1 - Is Momentum an Echo?
AU - Goyal, Amit
AU - Wahal, Sunil
N1 - Publisher Copyright:
Copyright © Michael G. Foster School of Business, University of Washington 2016.
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.
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U2 - 10.1017/S0022109015000575
DO - 10.1017/S0022109015000575
M3 - Article
AN - SCOPUS:84959386521
SN - 0022-1090
VL - 50
SP - 1237
EP - 1267
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 6
ER -