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Do Industries Explain Momentum? - David Eccles School of Business
Jan 7, 2004 ... This paper documents a strong and prevalent momentum effect in ... Pricing Conference in Chicago, and the 1999 AFA meetings in New York ...

A Unified Theory of Underreaction, Momentum Trading, and ... - Jstor
The underreaction means that the momentum traders can profit by trend- ..... 6 Rouwenhorst (1998, 1999) finds that Jegadeesh and Titman's (1993) U.S. results ...

Do Industries Explain Momentum? - Wiley Online Library
Dec 17, 2002 ... Volume 54, Issue 4, pages 1249–1290, August 1999 ... This paper documents a strong and prevalent momentum effect in industry components ...

A Unified Theory of Underreaction, Momentum Trading, and ...
Dec 17, 2002 ... Volume 54, Issue 6, pages 2143–2184, December 1999 ... two groups of boundedly rational agents: “newswatchers” and “momentum traders.

Discusion Comments of Momentum and Stock Return Autocorrelation
Jegadeesh and Titman (1993) document individual stock momentum: strate- gies that ... Grinblatt (1999), a number of subsequent articles find that industries (or.