Seminal studies in momentum

In their seminal work, Jegadeesh and Titman (1993, 2001) describe a compelling short-term momentum-based trading strategy providing a steady 1% per month abnormal return over a 6-month holding period. The authors sort stocks into winner and

loser decile portfolios based on their returns over the past 1, 2, 3, or 4 quarters; then they examine the subsequent performance of these 2 portfolios over holding periods varying from 1 to 4 quarters (a total of 16 momentum strategies ranging from a 1/1 strategy to a 12/12 strategy). The authors find evidence of short-term momentum; that is, the winner portfolio continues to outperform the loser portfolio over time horizons of 3 months to a year even after controlling for risk. However, in a more recent study, Lesmond, Schill, and Zhou (2004) leave us questioning how much, if any, of that return remains after incorporating

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transaction costs for implementing such a strategy.

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