The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and … retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts … substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale …

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum … momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past …-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the …