| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5375 |
| 来源ID | Working Paper 5375 |
| Momentum Strategies | |
| Louis K. C. Chan; Narasimhan Jegadeesh; Josef Lakonishok | |
| 发表日期 | 1995-12-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w5375 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562830 |
| 推荐引用方式 GB/T 7714 | Louis K. C. Chan,Narasimhan Jegadeesh,Josef Lakonishok. Momentum Strategies. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5375.pdf（558KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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