Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2021
Abstract
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 information can contribute to stock return predictability. Consequently, we propose a new joint strategy that synthesises both earnings momentum and short-term reversal. We find that this joint strategy generates considerable economic gains and outperforms the sum of profits from two individual anomalies. Moreover, the proposed strategy appears to be quite robust, generating stable and persistent profits across different market conditions.
Keywords
Anomalies; Earnings momentum; Post-earnings announcement drift; Short-term reversals
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Accounting and Finance
Volume
61
First Page
2379
Last Page
2405
ISSN
0810-5391
Identifier
10.1111/acfi.12669
Publisher
Wiley: 24 months
Citation
ZHU, Zhaobo; SUN, Licheng; TU, Jun; and Jun TU.
Earnings momentum meets short-term return reversal. (2021). Accounting and Finance. 61, 2379-2405.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6867
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://doi.org/10.1111/acfi.12669