IDEAS home Printed from https://ideas.repec.org/a/oup/revfin/v29y2025i1p241-273..html
   My bibliography  Save this article

Empirical determinants of momentum: a perspective using international data

Author

Listed:
  • Amit Goyal
  • Narasimhan Jegadeesh
  • Avanidhar Subrahmanyam

Abstract

Although momentum exists in many markets throughout the world, explanations for momentum have largely been tested using US data. We investigate the extent to which US-based momentum explanations extend to the international context, using regression-based and portfolio approaches. Among the several hypotheses we consider, we find reliable support for the hypothesis that due to limited attention, investors underreact to information arriving in small bits rather than in large chunks, which results in momentum. We also find secondary support for the overconfidence hypothesis for momentum. Finally, we find that momentum is stronger in up-markets and less-volatile markets in the international context just as in the USA. This finding also accords with the investor overconfidence hypothesis, under the proviso that investors are more confident in rising, low-volatility markets.

Suggested Citation

  • Amit Goyal & Narasimhan Jegadeesh & Avanidhar Subrahmanyam, 2025. "Empirical determinants of momentum: a perspective using international data," Review of Finance, European Finance Association, vol. 29(1), pages 241-273.
  • Handle: RePEc:oup:revfin:v:29:y:2025:i:1:p:241-273.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rof/rfae038
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Momentum; International; News diffusion;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:revfin:v:29:y:2025:i:1:p:241-273.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/eufaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.