標題: Does revenue momentum drive or ride earnings or price momentum?
作者: Chen, Hong-Yi
Chen, Sheng-Syan
Hsin, Chin-Wen
Lee, Cheng-Few
管理學院
College of Management
關鍵字: Revenue surprises;Earnings surprises;Post-earnings-announcement drift;Momentum strategies
公開日期: 1-一月-2014
摘要: This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue, earnings, and price momentums, suggesting that revenue surprises, earnings surprises, and prior returns each carry some exclusive unpriced information content. We next show that the profits of momentum driven by firm fundamental performance information (revenue or earnings) depend upon the accompanying firm market performance information (price), and vice versa. The robust monotonicity in multivariate momentum returns is consistent with the argument that the market does not only underestimate the individual information but also the joint implications of multiple information on firm performance, particularly when they point in the same direction. A three-way combined momentum strategy may offer monthly return as high as 1.44%. The information conveyed by revenue surprises and earnings surprises combined account for about 19% of price momentum effects, which finding adds to the large literature on tracing the sources of price momentum. (C) 2013 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jbankfin.2013.09.021
http://hdl.handle.net/11536/23670
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2013.09.021
期刊: JOURNAL OF BANKING & FINANCE
Volume: 38
Issue: 
起始頁: 166
結束頁: 185
顯示於類別:期刊論文


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  1. 000329599100012.pdf