This study introduces a new estimation-based bootstrap simulation procedure to test whether different returns-generating models can explain the profitability of momentum strategies first documented in Jegadeesh and Titman (1993). We incorporate simple random walk and multifactor models and allow...

Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cash flow-to-price captures significant time series variation in global stock returns, and has lower pricing...

This paper re-examines the profitability of relative strength trading strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past. We study the changing risk patterns of the stocks that comprise this investment strategy and argue that...