Momentum Strategies

  • Author(s): LOUIS K. C. CHAN, NARASIMHAN JEGADEESH, JOSEF LAKONISHOK
  • Published: Apr 30, 2012
  • Pages: 1681-1713
  • DOI: 10.1111/j.1540-6261.1996.tb05222.x

ABSTRACT

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book‐to‐market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version