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
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Earnings and price momentum
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
نویسندگان
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