Could earnings momentum crash?
Min Zhang, Wenbin Bao
Available Online October 2017.
- https://doi.org/10.2991/febm-17.2017.70How to use a DOI?
- momentum crashes; earnings momentum; portfolio; return
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Min Zhang AU - Wenbin Bao PY - 2017/10 DA - 2017/10 TI - Could earnings momentum crash? BT - Second International Conference On Economic and Business Management (FEBM 2017) PB - Atlantis Press SN - 2352-5428 UR - https://doi.org/10.2991/febm-17.2017.70 DO - https://doi.org/10.2991/febm-17.2017.70 ID - Zhang2017/10 ER -