Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)

Could earnings momentum crash?

Authors
Min Zhang, Wenbin Bao
Corresponding Author
Min Zhang
Available Online October 2017.
DOI
10.2991/febm-17.2017.70How to use a DOI?
Keywords
momentum crashes; earnings momentum; portfolio; return
Abstract

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.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
October 2017
ISBN
978-94-6252-423-1
ISSN
2352-5428
DOI
10.2991/febm-17.2017.70How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Min Zhang
AU  - Wenbin Bao
PY  - 2017/10
DA  - 2017/10
TI  - Could earnings momentum crash?
BT  - Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)
PB  - Atlantis Press
SP  - 519
EP  - 525
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-17.2017.70
DO  - 10.2991/febm-17.2017.70
ID  - Zhang2017/10
ER  -