Median momentum

Tsung Yu Chen, Pin Huang Chou

Research output: Contribution to journalArticlepeer-review


The median is a better measure of a sample's central tendency in the presence of extreme observations. We propose an alternative momentum strategy formed by buying (shorting) stocks with high (low) average median returns over a formation period of 3–12 months. The median momentum strategy outperforms the traditional price momentum strategy for all holding periods from 1 month to 5 years, with no long-term reversal. This same return pattern is observed for all G7 countries. Further analysis indicates that median momentum profitability is an underreaction-only phenomenon and shows behavioral patterns related to short-sale restrictions and investor sentiment.

Original languageEnglish
Pages (from-to)1080-1118
Number of pages39
JournalEuropean Financial Management
Issue number4
StatePublished - 1 Sep 2019


  • Momentum
  • cognitive dissonance
  • investor sentiment
  • median
  • regret
  • short-sale restrictions


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