会议专题

Could earnings momentum crash?

  It is already accepted by researchers that price momentum has crashed.How about earnings momentum? Does it also have crashed? In this paper we used two methods---standardized unexpected earnings and the cumulative abnormal stock return to measure earnings momentum which are supposed to put into ten portfolios to calculate the extreme momentum returns.We found that the standardized unexpected earnings(SUE)had perfect performance after the year of 2000 which was the momentum crash period.On the contrary,the cumulative abnormal stock return(ABR)had crashed strongly after 2000.So we can easily to conclude earnings momentum had crashed when we measured it through SUE,but it had crashed when we measured it through ABR.

momentum crashes earnings momentum portfolio return

Min Zhang Wenbin Bao

School of Economics and Management,Nanjing University of Science and Technology,China

国际会议

2017年经济与企业管理国际学术会议(FEBM2017)

上海

英文

519-525

2017-10-21(万方平台首次上网日期,不代表论文的发表时间)