Abstract Azp
Identifying ways to successfully predict security returns based on past returns is a major objective of investment research. One of the most important strategies, that of momentum (Levy, 1967; Jegadeesh and Titman, 1993; Oehler et al., 2003), is employed in this chapter. Using NYSE data from December 1994 to May 2009, we analyze whether buying stocks that have performed well in the past and selling stocks that have performed poorly in the past can generate significant positive returns, even in a turbulent market phase. Our findings suggest that investors using momentum strategies could have indeed generated superior returns during that time period.
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