Jegadeesh, Narasimhan; Titman, Sheridan - In: Annual Review of Financial Economics 3 (2011) 1, pp. 493-509
There is substantial evidence that indicates that stocks that perform the best (worst) over a three- to 12-month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Until recently, trading strategies that exploit this phenomenon were consistently profitable...