کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960638 | 1478906 | 2006 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Earnings and price momentum
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper examines whether earnings momentum and price momentum are related. Both in time-series as well as in cross-sectional asset pricing tests, we find that price momentum is captured by the systematic component of earnings momentum. The predictive power of past returns is subsumed by a zero-investment portfolio that is long on stocks with high earnings surprises and short on stocks with low earnings surprises. Further, returns to the earnings-based zero-investment portfolio are significantly related to future macroeconomic activities, including growth in GDP, industrial production, consumption, labor income, inflation, and T-bill returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 80, Issue 3, June 2006, Pages 627–656
Journal: Journal of Financial Economics - Volume 80, Issue 3, June 2006, Pages 627–656
نویسندگان
Tarun Chordia, Lakshmanan Shivakumar,