Earnings and price momentum

被引：165

作者：

Chordia, Tarun

Shivakumar, Lakshmanan ^{[1
]}

机构：

[1] London Business Sch, London NW1 4SA, England

[2] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2006年 / 80卷 / 03期

关键词：

post-earnings announcement drift; price momentum; earnings momentum; market efficiency; macroeconomy;

D O I：

10.1016/j.jfineco.2005.05.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：627 / 656

页数：30

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