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- W173000055 abstract "I examine the profitability of earnings momentum strategies that buy and sell stocks based on the recent revision in analyst earnings per share (EPS) forecasts. The momentum literature to date has focused primarily on price momentum - the continuation of returns based on past returns. However, despite the fundamental link between price and expected earnings, there is little research to examine the link's impact on the profitability of momentum strategies. Hong, Lee and Swaminathan (2004) provide international evidence suggesting price momentum is profitable only in countries that have earnings momentum. My Australianspecific study substantially expands on Hong et al. by showing that earnings momentum in Australia is robust to market-adjustment and is not subsumed by size or value premiums. My study has three major implications for momentum investors. Firstly, I show that during my sample period earnings momentum strategies, on average, outperformed the broader market. Secondly, I show that a buy-and-hold approach significantly outperforms strategies which employ zero-cost hedge portfolios. Thirdly, I show earnings momentum strategies do not rely heavily on using small cap stocks but rather are profitable using stocks in mid cap stocks. Collectively my study shows that for the period 1990 to 2006, earnings momentum strategies both delivered abnormal returns and were easily implementable because there was no reliance on short-selling and trading in small stocks." @default.
- W173000055 created "2016-06-24" @default.
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- W173000055 date "2009-01-01" @default.
- W173000055 modified "2023-09-27" @default.
- W173000055 title "Profitability to Australian earnings momentum strategies" @default.
- W173000055 hasPublicationYear "2009" @default.
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