This paper documents that strategies which buy stocks that have performed well in the past
and sell stocks that have performed poorly in the past generate significant positive returns …

We examine whether the predictability of future returns from past returns is due to the market's
underreaction to information, in particular to past earnings news. Past return and past …

This paper evaluates various explanations for the profitability of momentum strategies
documented in Jegadeesh and Titman (1993) . The evidence indicates that momentum profits …

This article examines the contribution of stock price overreaction and delayed reaction to the
profitability of contrarian strategies. The evidence indicates that stock prices overreact to firm…

Portfolio strategies that buy stocks with high returns over the previous 3–12 months and sell
stocks with low returns over this same time period perform well over the following 12 months. …

There is substantial evidence that indicates that stocks that perform the best (worst) over a
three- to 12-month period tend to continue to perform well (poorly) over the subsequent three …

This paper presents new empirical evidence of predictability of individual stock returns. The
negative first‐order serial correlation in monthly stock returns is highly significant. …

We show that analysts from sell‐side firms generally recommend “glamour” (ie, positive
momentum, high growth, high volume, and relatively expensive) stocks. Naïve adherence to …

We investigate the value of active mutual fund management by examining the stockholdings
and trades of mutual funds. We fine that stocks widely held by funds do not outperform other …

An exclusive focus on bottom-line income misses important information about the quality of
earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, …