Earnings and price momentum

• 成果类型: Article
• 署名作者: Chordia, Tarun; Shivakumar, Lakshmanan
• 署名单位: University of London; London Business School; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.005
• 发表日期: 2006
• 页码: 627-656
• 关键词: post-earnings announcement drift; Price momentum; Earnings momentum; market efficiency; macroeconomy

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.