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Paper Stats:
Abstract Views: 3257
Downloads: 629
Download Rank: 5599
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Unifying Underreaction Anomalies
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TIMOTHY C. JOHNSON
London Business School; University of Illinois
ANDREW JACKSON
Barclays Global Investors; London Business School
May 2002
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Abstract:
This paper asks whether momentum and post-event drift are manifestations of the same underlying mechanism or whether they are separate phenomena. We find that both effects can be attributed to persistence in returns following news which affects expected earnings or earnings growth. Holding these quantities fixed, there is no momentum effect, nor is there post-event drift for our sample of events.
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Keywords: momentum, underreaction, post-event drift
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Working Paper Series
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Suggested Citation
Johnson, Timothy C. and Jackson, Andrew, "Unifying Underreaction Anomalies"
(May 2002).
Available at SSRN: http://ssrn.com/abstract=298352
or DOI: 10.2139/ssrn.298352
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Contact Information for
TIMOTHY
C.
JOHNSON
(Contact Author)
Email address for TIMOTHY
C.
JOHNSON
London Business School
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
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Email address for TIMOTHY
C.
JOHNSON
University of Illinois
Urbana
Champaign
, IL
61820
United States
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Contact Information for
ANDREW
JACKSON
Email address for ANDREW
JACKSON
Barclays Global Investors
United States
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Email address for ANDREW
JACKSON
London Business School
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
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Apr 23, 2002 |
253K
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