A Tale of Two Anomalies
Author | : Kewei Hou |
Publisher | : |
Total Pages | : 44 |
Release | : 2010 |
ISBN-10 | : OCLC:1290250235 |
ISBN-13 | : |
Rating | : 4/5 (35 Downloads) |
Download or read book A Tale of Two Anomalies written by Kewei Hou and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-series variations of investor attention, we find that price momentum profits are higher among high volume stocks and in up markets, but that earnings momentum profits are higher among low volume stocks and in down markets. In the long run, price momentum profits reverse but earnings momentum profits do not. These results suggest that price underreaction to earnings news weakens with investor attention, but price continuation caused by investors' overreaction strengthens with attention.