[[Start here]] → [[Sources]] → Jegadeesh & Titman --- This is the 1993 landmark paper that put the “momentum effect” in stocks on the map. They looked at US stocks from 1965–1989 and found that buying recent winners and shorting recent losers ([[momentum continues for three to twelve months|over 3–12 month lookbacks]], held for 3–12 months) earned about **1% abnormal return per month**, even after risk adjustment. They found the effect is strongest in the 6×6 strategy (rank on 6 months’ returns, hold for 6) - with *excess returns* of 12%. The pattern isn’t explained by size, beta, or seasonality. It’s a genuine continuation effect - winners keep winning for a while, and losers keep losing. They interpret it as **underreaction** - that investors don’t fully adjust to new information, so prices drift in the same direction as news comes out - especially around subsequent earnings announcements. This [[momentum continues for three to twelve months|intermediate continuation effect]] has become the core of modern **momentum investing**. It sits between the [[momentum reverses in the short term|one-month reversals]] and the [[momentum continues for three to twelve months|three-to-five-year long-term reversals]] - the middle gear in the **structure of price momentum**. [^1]: Jegadeesh & Titman - [Returns to Buying Winners and Selling Losers](https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1993.tb04702.x)