Earnings momentum meets short-term return reversal

• Main Authors: ZHU, Zhaobo, SUN, Licheng, TU, Jun, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Anomalies; Earnings momentum; Post-earnings announcement drift; Short-term reversals; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6867; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7866/viewcontent/Accounting___Finance___2020___Zhu___Earnings_momentum_meets_short_term_return_reversal.pdf
• Institution: Singapore Management University

This paper evaluates the effectiveness of a joint strategy that exploits fundamental-based momentum and return-based reversal anomalies. This joint strategy is motivated by two considerations. First, reversal can serve as a natural hedge to momentum. Second, both fundamental and price-related inform...