Could earnings momentum crash?

摘要：

　　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.

关键词： momentum crashes earnings momentum portfolio return

作者: Min Zhang Wenbin Bao

作者单位: School of Economics and Management,Nanjing University of Science and Technology,China

会议类型: 国际会议

会议名称: 2017年经济与企业管理国际学术会议(FEBM2017)

会议地点: 上海

会议语种:英文

页码: 519-525

在线出版日期: 2017-10-21（万方平台首次上网日期，不代表论文的发表时间）