À繫¿¬±¸ Á¦ ±Ç È£ (2016³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1757~1786
pp.1757~1786
Sources of Price Momentum
Soon-Gyu Kwon Korea Advanced Institute of Science and Technology
Jung-Soon Hyun Korea Advanced Institute of Science and Technology
Price momentum has not been clearly explained yet. Previous studies suggest the possibility that the price momentum effect is related with market¡¯s under-reaction to information. To find the sources of price momentum, we elaborate empirical analysis based on information of factors - size, value, profitability and investment. We find, first, that not only the factors but also their changes explain the cross-section of expected stock returns. Second, after controlling for information changes of both earnings and operating profit, the price momentum effect vanishes. Information on firm¡¯s operating profit is superior to that of earnings in absorbing price momentum. Our results suggest price momentum is due to the sluggish response to new information not only on earnings but also on operating profit.
Soon-Gyu Kwon
Jung-Soon Hyun
Price momentum has not been clearly explained yet. Previous studies suggest the possibility that the price momentum effect is related with market¡¯s under-reaction to information. To find the sources of price momentum, we elaborate empirical analysis based on information of factors - size, value, profitability and investment. We find, first, that not only the factors but also their changes explain the cross-section of expected stock returns. Second, after controlling for information changes of both earnings and operating profit, the price momentum effect vanishes. Information on firm¡¯s operating profit is superior to that of earnings in absorbing price momentum. Our results suggest price momentum is due to the sluggish response to new information not only on earnings but also on operating profit.