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Is Momentum an Echo?

Published online by Cambridge University Press:  24 February 2016

Amit Goyal  and
Sunil Wahal
Amit Goyal
Affiliation:
amit.goyal@unil.ch, University of Lausanne, Swiss Finance Institute, Lausanne, CH-1015, Switzerland
Sunil Wahal*
Affiliation:
sunil.wahal@asu.edu, Arizona State University, Carey School of Business, Tempe, AZ 85287.
*
*Corresponding author: sunil.wahal@asu.edu
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Abstract

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.

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 50 , Issue 6 , December 2015 , pp. 1237 - 1267
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2016 

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