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RelativeResourceManager-3 - and is this the source of price...

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Week 7 Active Investing (2): Price momentum and earnings momentum
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Price Momentum Price momentum (“relative strength”) strategy Buy stocks with the highest return over previous period Sell (or short) stocks with the lowest return over previous period
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Outline Evidence on the proftability oF price momentum Explanation For price momentum profts Risk Market under-reaction to frm-specifc news
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Under-reaction to earnings One possible source of Frm-speciFc news: earnings Does market under-react to earnings news
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Unformatted text preview: and is this the source of price momentum? • Earnings momentum • Buy stocks with most favorable earnings news • Sell (short) stocks with least favorable earnings news Earnings momentum • Measuring earnings news • Standardized unexpected earnings (SUE) • Revisions in analyst forecasts of earnings • Evidence on the proFtability of earnings momentum • Comparing the proFts from price and from earnings momentum...
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RelativeResourceManager-3 - and is this the source of price...

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