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Chan, Jegadeesh & Lakonishok – Momentum Strategies

Chan, Jegadeesh & Lakonishok – Momentum Strategies
Chan, Jegadeesh & Lakonishok – Momentum Strategies

We examine whether the predictability of future returns from past returns is due to the market’s underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book-to-market effects do not explain the drifts. There […]

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Chan, Jegadeesh & Lakonishok - Momentum Strategies

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book-to-market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.

         

 File Size:3.805KB File Type: PDF Pages: 34

   

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  • عنوان مقاله : Chan, Jegadeesh & Lakonishok - Momentum Strategies
  • نوع فایل : PDF
  • حجم فایل : 4 مگابایت

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