A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
作者： Kewei Hou , Wei Xiong , Lin Peng
DOI: 10.2139/SSRN.976394
关键词:
摘要: We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-series variations of investor attention, we find that price momentum profits are higher among high volume stocks and in up markets, but that earnings momentum profits are higher among low volume stocks and in down markets. In the long run, price momentum profits reverse but earnings momentum profits do not. These results suggest that price …
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