Is Momentum an Echo?

Amit Goyal, Sunil Wahal

Research output: Contribution to journalArticlepeer-review

40 Scopus citations


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
Issue number6
StatePublished - Jan 26 2016

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Is Momentum an Echo?'. Together they form a unique fingerprint.

Cite this