Earnings and Price Momentum By Tarun Chordia

@inproceedings{May2005EarningsAP,
  title={Earnings and Price Momentum By Tarun Chordia},
  author={Lakshmanan Shivakumar May and Maureen McNichols},
  year={2005}
}
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. In timeseries as well as in cross-sectional asset pricing tests, the predictive power of past returns is subsumed by a… CONTINUE READING