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1、RFSAdvanceAccesspublishedJanuary20,2006ATrade-BasedAnalysisofMomentumSoerenHvidkjaer∗UniversityofMaryland∗IbenefitedfromthecommentsofGurdipBakshi,NicholasBarberis,DavidEasley,DavidHirshleifer,YongmiaoHong,ZoranIvkovi´c,YanivGrinstein,CampbellHarvey(theeditor),PalKorsvold,C
2、harlesLee,RoniMichaely,TobiasMoskowitz,MaureenO’Hara,AndreaPederzolli,AdamReed,GideonSaar,BhaskaranSwaminathan,JamesWeston,andseminarparticipantsattheAFAmeetings,theConferenceonFinanceandPsychologyinMannheim,CornellUniversity,EmoryUniversity,theEuropeanFinanceAssociationm
3、eetings,theFrankBattenConference,GeorgeWashingtonUniversity,HEC,LondonBusinessSchool,McGillUniversity,PennsylvaniaStateUniversity,UC-Davis,UniversityofChicago,UIUrbana-Champaign,UniversityofMaryland,UniversityofNotreDame,WashingtonUniversity,andtheWFAmeetings.Iamespeciall
4、ygratefultoananonymousreferee.FinancialsupportfromtheNasdaqEducationalFoundationisgratefullyacknowledged.AddresscorrespondencetoSoerenHvidkjaer,R.H.SmithSchoolofBusiness,4428VanMunchingHall,UniversityofMaryland,CollegePark,MD20742,oremail:shvidkja@rhsmith.umd.edu.©TheAuth
5、or2006.PublishedbyOxfordUniversityPressonbehalfofTheSocietyforFinancialStudies.Allrightsreserved.Forpermissions,pleaseemail:journals.permissions@oxfordjournals.org.ATrade-basedAnalysisofMomentumAbstractThispaperusestransactionsdataforallnyse/amexstocksintheperiod1983–2002
6、tostudyhowinvestorstradeinJegadeeshandTitman(1993)momentumportfolios.Amongsmalltrades,thereisanextremelysluggishreactiontothepastreturns.Forinstance,aninitialsmall-tradebuyingpressureexistsforloserstocks,anditgradu-allyconvertsintoanintensesellingpressureoverthefollowingy
7、ear.Theresultsareconsistentwithinitialunderreactionfollowedbydelayedreactionamongsmalltraders.Moreover,small-tradeimbalancesduringtheformationperiodsignificantlyaffectmo-mentumreturns,suggestingthatunderreactionamongsmalltraderscontributetothemomentumeffect.Largetraders,byco
8、ntrast,shownoevidenceofunderreaction,andlarge-tradeimbalanceshavelittleimpactonsubsequentreturns
