Asset Pricing: A Momentum Trading Strategy

This document explores the performance of different stock portfolios in a momentum trading strategy using back testing. It examines the profitability of momentum trading and compares the results with the arguments made by Jegadeesh & Titman (2001). The study analyzes the performance of loser and winner portfolios and discusses the significance of the results. The objective is to determine if buying from winners is more profitable than buying from losers in the stock market.