the Brazilian evidence

International academic studies show strong support to momentum effects but the literature applied to Brazil presents mixed results. This study examines the profitability of momentum strategies in the Brazilian market from February 1995 until December 2017, replicating the methodology of the pioneering work of Jegadeesh and Titman (1993). “Winners Minus Losers” strategies beat the market according to their risk-return profile. However, results obtained suggest lack of evidence of significant abnormal returns in the full period of estimation and in normal periods. “Winners” manage to exhibit positive abnormal returns for the full period, suggesting that following a long-only strategy is more attractive for investors. The sub-period analysis conducted demonstrates that “winners” drive returns, whereas “losers” negatively impact profitability and are also suggested to be the main cause of the momentum crashes