Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · 1993 · The Journal of Finance

BeginnerLFTEmpirical

The original cross-sectional momentum paper: stocks that won over the past 3-12 months keep beating the losers.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Factors & momentum
Assets: Equities
Market: US

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Low-frequency factors and momentum

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Cite

@article{jegadeesh1993returns,
  author = {Jegadeesh, Narasimhan and Titman, Sheridan},
  title = {{Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency}},
  journal = {The Journal of Finance},
  year = {1993},
  doi = {10.1111/j.1540-6261.1993.tb04702.x}
}

Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x