This study finds that market's underreaction to good news is a driver of Gutierrez and Kelly's (2008) weekly momentum returns. By employing a dataset of 10.1 million news items in four regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news...

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns...