| Course | GB792 Advanced Topics in Finance |
|---|---|
| Unit | Unit 7 |
| Paper type | Replication review |
| Length | About 1,120 words, 7 pages double-spaced |
| Format | APA 7 student paper |
| School | Purdue University Global |
| Program | MBA |
| Updated | October 2026 |
Free sample paper for GB792 Unit 7
Same Signal, New Data: A Unit 7 Replication Review of Momentum Since 1993
[Student Name]
Purdue University Global
GB792: Advanced Topics in Finance
Unit 7 Replication Review
[Instructor Name]
[Date]
The review concerns real published studies; the rigor grades and the verdict are the candidate's.
What Counts as Replication Here
A finding replicates when the same signal, applied with the same holding rule to data the original authors never saw, produces the same pattern. Three conditions follow. The signal must be the same: past returns over a period of several months, with the most recent month typically skipped. The holding rule must be the same or close to it. And the design must be fixed before the new data are examined, since a study that adjusts its portfolio rules until the pattern appears is not testing whether the pattern holds; it is searching for a version that does.
Two further features affect how much weight a replication deserves. Studies that weight stocks equally give tiny firms the same influence as large ones, and microcap stocks are costly to trade and prone to data errors. Studies that exclude microcaps or weight by value offer a more demanding test. The review grades each study as strong, moderate or weak on these criteria.
The Seven Studies
Jegadeesh and Titman (2001), United States, 1990 to 1998. The original authors applied their 1993 strategies, unchanged, to the eight years after their original sample. Momentum profits continued at a similar magnitude. Because the signal, holding rules and design were identical and the data new, this is the cleanest replication in the set. Grade: strong.
Rouwenhorst (1998), twelve European countries, 1980 to 1995. Rouwenhorst formed momentum portfolios within and across twelve European markets using rules close to the original and found returns of about 1 percent a month, similar to the American result, in nearly every country. The signal and rules match closely and the data are wholly new. Equal weighting in some tests lowers the grade slightly. Grade: strong.
Fama and French (2012), four international regions, 1989 to 2011. Using their own portfolio construction, sorting within size groups and weighting by value, Fama and French found momentum returns in North America, Europe and Asia Pacific, but not in Japan. Their construction differs from the original, which makes the test somewhat different, but the value weighting and size controls make it demanding. Grade: strong, with the Japan exception noted.
Asness et al. (2013), eight markets and asset classes. This study found consistent momentum returns in stocks across several countries and in government bonds, currencies and commodity futures, and found that momentum in different asset classes moved together. Extending the signal to assets other than stocks tests whether momentum is a general property of prices rather than a feature of equity markets. The signal was adapted to each asset class, which makes this partly an extension rather than a strict replication. Grade: moderate as replication, strong as generalization.
Asness (2011), Japan. Japan is the main market where momentum has been weak. Asness argued that this is not a failure of momentum but a consequence of its negative correlation with value: in Japan, value was unusually strong, and a portfolio combining value and momentum performed well even though momentum alone did not. The argument is plausible, but it reinterprets a failure rather than replicating a success. Grade: moderate.
Daniel and Moskowitz (2016), United States, crash episodes. This study examined periods when momentum failed badly, most dramatically in 2009, when losers rebounded sharply as markets recovered from the financial crisis and the strategy lost heavily in a few months. It found that such crashes are partly predictable, occurring after market declines when volatility is high. It does not challenge the average result, but it shows that the average conceals rare, severe losses. Grade: strong, as evidence about risk.
Moskowitz and Grinblatt (1999), industry momentum. Though published before most of the others, this study tested whether the pattern came from individual stocks or from industries, finding that much of it came from industries. It refines what momentum is rather than testing whether it replicates. Grade: moderate, as a refinement.
Two Complications
The first complication is Japan. A finding that holds in North America, Europe and the Asia Pacific region but not in Japan is not universal. Asness's explanation, that value and momentum interact, is consistent with the data, but it was proposed after the failure was known, and it would need confirmation in other markets where value is strong to be persuasive as more than an account of one case.
The second complication is the crash of 2009. Momentum's average returns are large, but a strategy that loses a large share of its value in a few months will deter many investors and may represent a risk that justifies some of the premium. Daniel and Moskowitz's evidence makes momentum look less like free money and more like a strategy with a hidden exposure to sharp market recoveries.
Momentum has replicated in nearly every market where it has been tested by its original rules, and its two failures teach as much about the pattern as its successes.
What a Further Replication Should Do
The strongest remaining test would combine the features that make the best studies persuasive. It would use the 1993 signal and holding rules without modification, value-weight portfolios and exclude microcaps, and apply them to data none of the studies above examined, such as the years since 2011 in emerging markets, where trading costs and short-sale constraints differ sharply from the American market. It would also report results net of realistic trading costs, since a pattern that survives in prices but not after costs answers a different question about efficiency. And it would state in advance which outcome would count as failure, so that a weak result could not be reinterpreted after the fact, as the Japanese case has been. A replication designed this way would add more to the evidence than another test in a well-studied market.
The Verdict
Momentum passes the replication test better than most patterns in finance. The strongest replications, the original authors' own test on later American data, Rouwenhorst's European evidence and Fama and French's value-weighted international test, use the original signal on new data and find the pattern in nearly every case. The extension to bonds, currencies and commodities suggests the pattern is a general property of how prices move. The pattern stops at Japan, where it is weak on its own, and its average return conceals crash risk. The appropriate conclusion is that momentum is among the most robust return patterns documented, but that its interpretation, as mispricing or as compensation for crash risk, remains open.
References
Asness, C. S. (2011). Momentum in Japan: The exception that proves the rule. The Journal of Portfolio Management, 37(4), 67-75. https://doi.org/10.3905/jpm.2011.37.4.067
Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. https://doi.org/10.1111/jofi.12021
Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247. https://doi.org/10.1016/j.jfineco.2015.12.002
Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457-472. https://doi.org/10.1016/j.jfineco.2012.05.011
Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720. https://doi.org/10.1111/0022-1082.00342
Moskowitz, T. J., & Grinblatt, M. (1999). Do industries explain momentum? The Journal of Finance, 54(4), 1249-1290. https://doi.org/10.1111/0022-1082.00146
Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267-284. https://doi.org/10.1111/0022-1082.95722
What the GB792 Unit 7 assignment asks for
The seventh GB792 assignment asks you to review the replications of one published finding. Define what counts as a genuine replication before examining any study, covering the signal, the holding rule, new data and a design fixed in advance. State which features earn a study more weight, such as value weighting or excluding the smallest stocks. Then take each study in turn, describe its sample and construction, report its result and assign a grade against your standard. Distinguish strict replications from extensions and refinements. Discuss the cases where the finding failed or behaved unexpectedly, and evaluate the explanations offered for them. Describe what a further replication would need to add. Close with a verdict on how far the finding generalizes and what replication cannot settle. Six pages with a replication table is common.
How this GB792 Unit 7 example is built
The review opens by defining replication and the weighting and size features that make a test demanding. Seven studies follow with their samples, methods and grades: Jegadeesh and Titman on 1990 to 1998, Rouwenhorst on Europe, Fama and French on four regions with Japan as the exception, Asness and colleagues across asset classes, Asness on Japan, Daniel and Moskowitz on crashes and Moskowitz and Grinblatt on industries. A section on complications treats Japan's after-the-fact explanation cautiously and reads the 2009 crash as hidden risk. The highlighted sentence summarizes the pattern of successes and failures. A section designs a stronger replication in emerging markets with costs and a stated failure criterion, and the verdict separates robustness from interpretation.
Where the points sit in the GB792 Unit 7 rubric
Marks in the GB792 replication review depend on the standard and its consistent application. Instructors give credit for a definition of replication stated before any study is examined, since a standard chosen afterward can fit any conclusion. Each study should be described and graded against that standard, with strict replications distinguished from extensions. Failures and anomalies within the evidence are weighted, because they test the standard as much as successes. Evaluating explanations offered after a failure, rather than accepting them, shows judgment. Designing a stronger test demonstrates that the student understands what the existing evidence lacks. The verdict is graded on whether it separates the pattern's robustness from the debate about its cause. Accurate citation of each study completes the work.
GB792 Unit 7 help: mistakes that cost points
Many GB792 replication reviews list follow-up studies that found momentum and conclude it is robust, without saying what counts as a replication. Others treat every study as equal, whether it used the original rules or redesigned them. Japan is often dismissed in a sentence or explained away without noting the explanation came after the failure. Crash risk is sometimes left out, though it changes how the average return should be read. Students rarely say what further test would strengthen the evidence. Define replication first, grade each study, separate extensions from replications, examine failures seriously, propose a better test and keep robustness apart from cause. If your review covers a different finding, our writers can draft it using the same standard.
Get a GB792 Unit 7 example written to your instructions
Which documented pattern does your Unit 7 review examine, and which replications are you permitted to use? Forward those with the assignment wording and grading rubric. The returned review defines replication strictly, grades every study on the same criteria in one table and reaches a verdict no broader than that table supports. Free for a first custom sample; 24-48h is standard. The paper above is an original model document written by our desk, not a submitted student paper and not an official Purdue University Global document.
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GB792 Unit 7 questions, answered
Why grade replications instead of simply summarizing them?
Because two studies reporting the same positive result can deserve very different weight. One may test the identical signal on untouched data with value weights; another may redesign the signal after exploring the data. Grading makes that difference visible. Without it, a review can only count confirmations, which rewards whichever pattern has attracted the most follow-up work.
Is momentum's international evidence really independent of the U.S. result?
Largely, which is why it carries weight. European and Asian markets have different investors, institutions and trading costs, so a similar pattern there is harder to dismiss as a U.S. data artifact. The review notes one limit: some international studies were run after researchers already knew what to look for, a weaker form of independence than new data alone.
Can the review address a pattern other than momentum?
Yes. Any published pattern with follow-up studies suits the format, whether value, low volatility, profitability or a corporate finance regularity. Your review would define replication the same way, build the same kind of graded table and reach a verdict bounded by it. Momentum is used here because its replication record is unusually long and varied.
Where can I find a free GB792 Unit 7 sample paper?
This page holds a full GB792 Unit 7 replication review grading seven momentum studies across later years, other countries and other asset classes, including Japan and the 2009 crash.
Why is momentum weak in Japan?
Fama and French found no reliable momentum there. Asness argued that momentum and value are negatively correlated and that value was unusually strong in Japan, so a combined strategy still performed well.