Narasimhan Jegadeesh and
Sheridan Titman published their paper “Returns to buying winners and
selling losers: Implications for stock market efficiency at the Journal of
Finance in 1993. They find that significant positive alphas can be obtained
from strategies which buy past winning stocks – stocks that have performed well
in the past- and sell past losing stocks – stocks that have performed poorly in
the past. Such trading strategy is typically referred as momentum strategy and
has been widely adopted by many money managers. If momentum strategies are
indeed able to generate positive alphas after adjusting for risks, which form
of EMH is violated? Select one:
O A. All of weak form,
semi-strong form and strong form EMH
OB. Weak form EMH only
OC. Semi-strong form EMH
only
OD. Strong-form EMH only
O E. None of weak form,
semi-strong form and strong form EMH
