The Relation between Earnings and Price Momentum : Does it Vary Across Regimes?

This paper investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework that allows for variations between high volatility and low volatility states, we find that price momentum is significantly more influenced by earnings momentum in the high volatility state. Further for price momentum we find that loser firms display a higher degree of differential response to earnings momentum across the low and high volatility, relative to winner firms. Limited financing and investor's sensitivity to future investment opportunities might explain these two results

MoreLess

Year of publication:	2013
Authors:	Zheng, Yao
Other Persons:	Wei, Peihwang (contributor) ; Osmer, Eric (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Gewinn \| Profit

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013090314