Namun, mungkin karena keterbatasan pada jurnal-jurnal penelitian terdahulu, beberapa karya ilmiah yang telah saya baca, pembahasannya mengenai momentum ini justru menjadi kabur dari definisinya. Terdorong oleh kondisi demikian, berikut ini adalah jurnal-jurnal ilmiah mengenai topik momentum yang dapat memperkaya wawasan kita perihal momentum itu sendiri, silahkan diunduh dan dibaca. Salam.
"A common phenomenon in the three types of analyst recommendation studies (Wall Street Journal/Zacks, Wall $treet with Louis Rukeyser, and Pros vs. Darts) is momentum. The stocks that get recomnended are those that have recently done well. In an important study Narasim Jegadeesh and Sheridan Titman (1993) document the existence of a momentum effect. Jegadeesh and Titman attribute this effect to the fact that investors underreact to the release of firm-specific information, a cognitive bias."
Shefrin (2000) page 77
"In addition to this long-run tendency toward reversal of trends, there ia a shorter-run weak tendency toward momentum, for stock prices to continue moving in the same direction"
Shiller [book]
"In an important study Narasim Jegadeesh and Sheridan Titman (1993) document the existence of a momentum effect. Jegadeesh and Titman attribute this effect to the fact that investors underreact to the release of firm-specific information, a cognitive bias."
Shefrin [book]
"Geert Rouwenhorst (1997) documents that the momentum effect occurs on global markets."
p300 "keep in mind that most predictions are made by extrapolating recent trends--what Werner De Bondt (1993) calls "betting on trends."
"Daniel, Hirshleifer, and Subrahmanyam posit that momentum stems from overreaction, whereas the others propose that it stems from underreaction."
Shefrin (2000) p102
Shefrin (2000) p102
"What causes intermediate-term momentum but long-term overreaction?"[...]"The answer is heuristic-driven bias."
Shefrin (2000) p103
"Subsequent to De Bondt and Thaler's findings, researchers have identified more ways to successfully predict security returns, particularly those of stocks, based on past returns. Among these findings, perhaps the most important is that of momentum (Jegadeesh and Titman 1993), which shows that movements in individual stock prices over the period of six to twelve months tend to predict future movements in the same direction. That is, unlike the long-term trends identified by De Bondt and Thaler, which tend to reverse themselves, relatively short-term trends continue."
Shleifer p18
"First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners."
Hong, Lim and Stein (1999)
Top 10 Papers
1. CHAN, L., N. JEGADEESH and J. LAKONISHOK, 1996. Momentum Strategies. NBER Working Paper.
2. GRINBLATT, M., S. TITMAN and R. WERMERS, 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review.
3. HONG, H. and J.C. STEIN, 1999. A unified theory of underreaction, momentum trading and overreaction in asset markets. The Journal of Finance.
4. ROUWENHORST, K.G., 1998. International Momentum Strategies. The Journal of Finance.
5. JEGADEESH, N., S. TITMAN and M.P. PAGE, 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal of Finance.
6. HONG, H., et al., 2000. Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance.
7. LEE, C.M.C. and B. SWAMINATHAN, 2000. Price momentum and trading volume. The Journal of Finance.
8. MOSKOWITZ, T.J. and M. GRINBLATT, 1999. Do Industries Explain Momentum?. The Journal of Finance.
9. GRUNDY, B.D. and J.S. MARTIN, 2001. Understanding the nature of the risks and the source of the rewards to momentum investing. Review of Financial Studies.
10. LIEW, J. and M. VASSALOU, 2000. Can book-to-market, size and momentum be risk factors that predict economic growth. Journal of Financial Economics.
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