학술대회
International Conference
[2016년 제 2차] Sources of Price Momentum
작성자 : 관리자
조회수 : 968
게시일 :
2016-06-13
Price momentum has not been clearly explained yet. Previous studies suggest the possibility that the price momentum effect is related with market’s under-reaction to information. To find the sources of price momentum, we elaborate empirical analysis based on information of factors - size, value, profitability and investment. We find, first, that not only the factors but also their changes explain the cross-section of expected stock returns. Second, after controlling for information changes of both earnings and operating profit, the price momentum effect vanishes. Information on firm’s operating profit is superior to that of earnings in absorbing price momentum. Our results suggest price momentum is due to the sluggish response to new information not only on earnings but also on operating profit.