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The gains from a simple momentum strategy are economically insignificant.  However, conditioning the momentum strategy on with some other rules provides very large returns.  Mahesh Pritamani and Vijay Singal find substantial under-reaction for earnings announcements, analyst recommendations, and earnings forecasts, especially when the volume was high.  If there is a large price change and a large volume increase associated with these events, then the subsequent abnormal returns are large.  In the event is positive and the volume is high, there is on average a subsequent 3.5% 20-day abnormal return.  If the event is negative and the volume is high, there is an average subsequent -2.25% 20-day abnormal return.  The authors find that substantial post-transaction cost abnormal returns may be captured using this strategy.

Reference:

“Return Predictability Following Large Price Changes and Information Releases” Mahesh Pritamani and Vijay Singal, Journal of Banking and Finance, April 2001, Volume 25, No. 4

Analyses of HOLDRs

BBH:  Bullish above resistance.  (Biotechnology)

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BDH:  Neutral.  (Broadband)

BHH:  Neutral.  (Business to Business)

EKH:  Neutral.  (European Stocks)

HHH:  Neutral.  (Internet)

IAH:  Neutral.  (Internet Architecture)

IIH:   Neutral.  (Internet Infrastructure)

OIH:  Bearish.  (Oil Services)

PPH:  Bullish.  (Pharmaceuticals)

RKH:  Neutral.  (Regional Banks)

RTH:  Neutral.  (Retail)

SMH:  Neutral.  (Semiconductors)

SWH:  Slightly bullish.  (Software)

TTH:  Neutral.  (Telecommunications)

UTH:  Neutral.  (Utilities)

WMH:  Neutral.  (Wireless)