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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This note was uploaded on 01/18/2011 for the course FIN Fin511 taught by Professor Chen,w during the Spring '10 term at University of Illinois, Urbana Champaign.

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

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