International Price and Earnings Momentum

We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and every country. While the above explanation is confined to certaintime periods in the U.S., earnings momentum nevertheless appears to be a crucial driver ofthe price momentum anomaly in many markets. Since we cannot establish a decent relationbetween momentum and macroeconomic risks, we suspect a behavioral-based explanation to beat work. In fact, we find momentum profits to be more pronounced for portfolios characterizedby higher information uncertainty.[...]