The illusory nature of momentum profits
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Other studies argue that technical indicators have little predictive value and do not facilitate profitable trading.
“However, other studies argue that technical indicators have little predictive value and do not facilitate profitable trading, (e.g., Fama, 1970; Lesmond et al., 2004).”
From Bridging the divide in financial market forecasting: machine learners vs. financial economists (2016) · cites this paper as Lesmond et al., 2004
The value of technical indicators remains an open question.
“The value of technical indicators remains an open question.”
From Bridging the divide in financial market forecasting: machine learners vs. financial economists (2016) · cites this paper as Lesmond et al., 2004
Our results further support previous criticism of technical indicators and cast doubt on their value for predictive modeling.
“Consequently, our results further support previous criticism of technical indicators (Fama, 1970; Lesmond et al., 2004) and cast doubt on their value for predictive modeling.”
From Bridging the divide in financial market forecasting: machine learners vs. financial economists (2016) · cites this paper as Lesmond et al., 2004
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- Authors
- Lesmond, D. A., Schill, M. J., & Zhou, C.
- Affiliations
- Tulane University (US)
- University of Virginia (US)
- Peking University (CN)
- Corresponding author
- Schill, Michael J.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2004-02
- Volume
- 71
- Issue
- 2
- Pages
- 349-380
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3124694934
- Cited by
- 657
- References
- 95
- Citations by year
- 2026: 15 · 2025: 14 · 2024: 15 · 2023: 14 · 2022: 19 · 2021: 20 · 2020: 23 · 2019: 29 · 2018: 33 · 2017: 29 · 2016: 24 · 2015: 38 · 2014: 51 · 2013: 44 · 2012: 37
- FWCI
- 34.13
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Journal of Financial Economics (publishedVersion)
- SSRN Electronic Journal (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
- Keywords
- momentum trading, trade costs, abnormal returns, momentum profits, strategy implementation, cross-section of stock returns
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