Corporate Investment and Stock Return Momentum
In their seminal study, Jegadeesh and Titman (1993) document the existence of the momentum effect in stock returns. Using data from 1965 to 1989, they show that when stocks are ranked in deciles based on their immediate past returns, the past winners (the best performing stocks in upper tenth decile) continue to outperform the past losers (the worst performing… Read More »
