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Crunching the Numbers

There are many measures of momentum and most of them are relative. In other words, a stock that goes up 30% during a period in which all stocks increased substantially may not be viewed as having strong momentum, whereas a stock that goes up 5% in a bear market may qualify. You will begin by looking at how different measures of momentum vary across the market and then go about constructing a portfolio of momentum stocks.

Momentum Measures

This section examines differences across firms on three sets of momentum measures. The first set includes price momentum measures: price changes and relative price strength. The second set of measures looks at trading volume, and the final set looks at earnings surprises.


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