haku: @author Lakonishok, J. / yhteensä: 32
viite: 5 / 32
| Tekijä: | Chan, L. Jegadeesh, N. Lakonishok, J. |
| Otsikko: | Momentum strategies |
| Lehti: | Journal of Finance
1996 : DEC, VOL. 51:5, p. 1681-1714 |
| Asiasana: | FINANCE ECONOMICS STRATEGY |
| Kieli: | eng |
| Tiivistelmä: | The authors 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. |
SCIMA