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Earnings and price momentum
Authors:Tarun Chordia  Lakshmanan Shivakumar  
Institution:aGoizueta Business School, Emory University, Atlanta, GA 30322, USA;bLondon Business School, London NW1 4SA, UK
Abstract: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. The predictive power of past returns is subsumed by a zero-investment portfolio that is long on stocks with high earnings surprises and short on stocks with low earnings surprises. Further, returns to the earnings-based zero-investment portfolio are significantly related to future macroeconomic activities, including growth in GDP, industrial production, consumption, labor income, inflation, and T-bill returns.
Keywords:Post-earnings announcement drift  Price momentum  Earnings momentum  Market efficiency  Macroeconomy
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