Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
评估了Jegadeesh和Titman（1993）发现的动量策略盈利能力的多种解释，发现动量利润在1990年代持续存在，并支持行为模型中的延迟过度反应假说，但需谨慎对待。
ABSTRACT This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993) . The evidence indicates that momentum profits have continued in the 1990s, suggesting that the original results were not a product of data snooping bias. The paper also examines the predictions of recent behavioral models that propose that momentum profits are due to delayed overreactions that are eventually reversed. Our evidence provides support for the behavioral models, but this support should be tempered with caution.