# JEGADEESH AND TITMAN MOMENTUM PDF

The momentum effect is a widely-documented phenomenon in finance. One of the first studies to document this effect was written by Jegadeesh and Titman (JF, . This set of Python code is written based on the original SAS code that replicates the Jegadeesh and Titman (JF, ) momentum strategy. Please refer to the. This paper evaluates various explanations for the profitability of momentum strat- egies documented in Jegadeesh and Titman (). The evidence indicates.

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Thank you very much so far.

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### Momentum Strategy Jegadeesh and Titman – Statalist

This method is simple, though perhaps not completely realistic or not to everybody’s taste other methods of calculation are also possible. It is a while since I looked at this, so this is not a jegaeeesh answer. For every Month I sum up these two observations and take the Mean.

Also other people here may have inputs in the meantime I would really appreciate your help! Did you calculate the effective geometric rate of the 3 Month composite Portfolio, consisting the equally weighted Sub-Portfolios, Return?

You donlt want to use geometric averaging over 3 months, which will artificially decrease monthly volatility. As shown in the diagram Tranche 1 consists of those stocks bought at the end of December and held in Jan, Feb, Mar and so on for the other tranches.

HIGROMAS QUISTICOS PDF

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But I don’t know which tutman I have to calculate to implement my Momentum Strategy properly. In March, I calculate the Return of Tranche 1. At the end I sum jeadeesh Return of each Month up and take the mean of that to have the Monthly Returns of my actual Strategy. This continues every Month. I work with discrete monthly Returns. It was a short sale and the returns are due to falling stock prices.

My attempt would be: Somehow my sell Returns are pretty high such that i just a Buy – Sell Return of 0, Post as a guest Name. So I think, considering your answer, that every Month i should just have the Returns of the Composite Portfolio, isn’t it?

Is this the proper way to calculate the Returns of a Momentum Strategy? I want to implement a Momentum Strategy, followed by Jegadeesh and Titman with overlapping Portfolios.

Quick Link to the paper Unfortunately the Method is poorly described: In Jegadeesh and Titman, and the papers that follow it, the monthly return to the strategy for the month of March is found momenntum averaging the monthly return for Tranche 1 in March, the avg return for Tranche 2 in March and the monthly return for Tranche 3 in March.