| Author: | Dijk, R. van Huibers, F. |
| Title: | European Price Momentum and Analyst Behavior |
| Journal: | Financial Analysts' Journal
2002 : MAR-APR, VOL. 58:2, p. 96-105 |
| Index terms: | EUROPE EUROPEAN UNION PRICE THEORY PRICES ANALYTICAL REVIEW |
| Language: | eng |
| Abstract: | Previous studies have found evidence that selecting stocks with positive price momentum is effective in the U.S., European, and emerging stock markets for periods up to a year. The reasons that historical price momentum forecasts the direction and magnitude of stock returns, however, are not clear. Insight into the determinants of price momentum would allow investors to judge whether and how price momentum should play a role in their investment strategies. Studying the European stock markets, the authors found that positive price momentum is caused by analyst underreaction to new earnings information. The authors found earnings surprises, expected earnings growth, and earnings revisions to be systematically related to historical price movements. |
SCIMA