Earnings Momentum in International Markets

Hong, Dong Pyo; Lee, Charles M.C.; Swaminathan, Bhaskaran

doi:10.2139/ssrn.390107

Cited by 56 publications

(70 citation statements)

References 33 publications

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“…Our analysis extends Chordia and Shivakumar (2006), who study the relationship between earnings momentum and price momentum and document that the price momentum anomaly is a manifestation of the earnings momentum anomaly. The results from Chordia and Shivakumar are consistent with the results in Hong et al (2003) who examine earnings and price momentum in 11 international equity markets and find that price momentum exists only in those countries in which earnings momentum is profitable. The phenomenon has been attributed to a delayed price response to information.…”

Section: Introductionsupporting

confidence: 83%

The Relationship between Earnings Momentum and Price Momentum in Different Market - The Case of the China Market

Lin¹

2013

International Journal of Financial Research

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This study focuses on the stocks that are listed in A-and H-share markets from January 2000 to December 2009. Following Chan, Jegadeesh andLakonishok (1996), we test the profitability of price momentum and earnings momentum strategies under different market systems and accounting standards. In addition, we also adopt the method documented by Chordia and Shivakuma (2006) to examine whether earnings momentum and price momentum are related.The empirical results show that the price momentum effect has a significant and persistent phenomenon in H-share market instead of A-share market. Besides, the earnings momentum strategy would generate a significantly positive return in each market. This implies that the difference of accounting information content between the two markets does not inflect the profitability of earnings momentum strategy. Due to the price momentum strategy have an insignificant return in the A-share market, we only focus on the discussion of relationship between earnings and price momentum in H-shares. From the results, we find that price momentum is captured by the earnings momentum. The predictive power of past returns is subsumed by a strategy that buying the highest earnings surprise portfolio and selling the lowest earnings surprise portfolio.

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Section: Introductionsupporting

confidence: 83%

The Relationship between Earnings Momentum and Price Momentum in Different Market - The Case of the China Market

Lin¹

2013

International Journal of Financial Research

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“…It is quite clear from the profits percentages that j6k6 price momentum strategies are posting above average positive abnormal returns which indicate that Middle Eastern stock markets are attractive for both domestic and foreign investors. Hong et al (2003) wrote that price momentum investment strategy will result in higher returns as it comes with a potential risk. There are many authors who have explained profits of j6k6 price momentum strategy through risk based models like CAPM but they found that CAPM has been unable to explain the short term momentum profits.…”

Section: Discussionmentioning

confidence: 99%

“…Chui et al (2010) implemented j6k6 price mo mentum strategy while examining 55 stocks markets from across the globe. Similarly Hong et al (2003) and Griffin et al (2005) constructed momentum portfolios using j6k6 price momentum strategy to examine the stock markets of 12 countries and 40 countries respectively.…”

Section: Construction Of J6k6 Price Momentum Strategymentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

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Abstract. The objective of this paper is to find short term momentum effect in stock markets of the Middle East and to examine whether short term momentum profits can be explained by risk based CAPM model. Seven major stock markets from the Middle East were selected. Short term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

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“…Such market integration hypothesis is proper for developed markets, such as America, Canada, EU The data in China's stock market comes from WIND database, the data of other emerging markets are extracted from Compustat Global, and one-month U.S. Treasury bill rate comes from CRSP. Some literatures indicate that the quality of stock market data in the emerging markets is not as good as the data from CRSP (Hong et al, 2003). We exclude stocks whose share price is less than one or market capitalization is below the 2th percentile of all the stocks within each market in each month.…”

Section: Datamentioning

confidence: 99%