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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/70689

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70689

Title:	Does revenue momentum drive or ride earnings or price momentum?
Authors:	陳鴻毅 Chen, Hong-Yi;Chen, Sheng-Syan;Hsin, Chin-Wen;Lee, Cheng-Few
Contributors:	財管系
Keywords:	Revenue surprises;Earnings surprises;Post-earnings-announcement drift;Momentum strategies
Date:	2014.01
Issue Date:	2014-10-22 12:25:36 (UTC+8)
Abstract:	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.
Relation:	Journal of Banking & Finance, 38, 166-185
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jbankfin.2013.09.021
DOI:	10.1016/j.jbankfin.2013.09.021
Appears in Collections:	[財務管理學系] 期刊論文

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