Abstract
Jegadeesh and Titman (1993) found that when stocks are ranked on the basis of their past returns, then past winners outperform the past loser in the medium-term period. They suggested a zero-investment trading strategy termed momentum trading strategy, consisting of taking long position in the winner portfolio and short position in the loser portfolio, to generate abnormal profit. In this article, we demonstrated that the momentum trading strategy is robust in Indian stock market over the period of 2000–2013. We evaluated a range of trading strategies over alternative backward-looking ranking periods and forward-looking holding horizons in some prominent industries in India and found strong presence of momentum returns in various industries. The same conclusion we have drawn about the market as a whole that provides evidence against weak form of market efficiency.
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