Abstract

http://ssrn.com/abstract=1812980
 
 

References (45)



 


 



Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty


Marc-Gregor Czaja


Allianz Investment Management

Philipp Kaufmann


University of Muenster

Hendrik Scholz


Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

April 11, 2013

Journal of Investment Strategies, Vol. 2, No. 4, 2013

Abstract:     
Recent literature indicates that stock characteristics proxying for behavioral biases reinforce the earnings momentum effect. Using data from the investable German HDAX, we analyze whether returns of earnings momentum strategies can be enhanced in a way that not only survives common risk adjustments but also maintains profitability after trading costs. For our liquid stock universe, we find that the rate of information diffusion has the strongest impact. A bivariate sort on earnings momentum and market capitalization yields gross Carhart alphas of up to 22% per year. The abnormal returns are largely robust to reasonable levels of trading costs.

Number of Pages in PDF File: 51

Keywords: Analysts’ Earnings Forecast Revisions, Earnings Momentum, Post-Revision Price Drift, Portfolio Management, Market Efficiency

JEL Classification: G11, G12, G14

Accepted Paper Series


Download This Paper

Date posted: April 18, 2011 ; Last revised: October 8, 2013

Suggested Citation

Czaja, Marc-Gregor and Kaufmann, Philipp and Scholz, Hendrik, Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty (April 11, 2013). Journal of Investment Strategies, Vol. 2, No. 4, 2013. Available at SSRN: http://ssrn.com/abstract=1812980 or http://dx.doi.org/10.2139/ssrn.1812980

Contact Information

Marc-Gregor Czaja
Allianz Investment Management ( email )
Reinsburgstr. 19
Stuttgart, 70178
Germany
+49-711-663-2122 (Phone)
+49-711-663-82122 (Fax)
HOME PAGE: http://www.allianz.com
Philipp Kaufmann (Contact Author)
University of Muenster ( email )
Am Stadtgraben 9
Muenster, D-48143
Germany
+49 (0)251 - 83 28 200 (Phone)
+49 (0)251 - 83 22 846 (Fax)
HOME PAGE: http://www.wiwi.uni-muenster.de/me_en/organisation/Kaufmann_engl.html
Hendrik Scholz
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg ( email )
Finance and Banking
Lange Gasse 20
Nürnberg, Bavaria 90403
Germany
0049-911-5302649 (Phone)
0049-911-5302466 (Fax)
HOME PAGE: http://www.finanzierung.wiso.uni-erlangen.de
Feedback to SSRN


Paper statistics
Abstract Views: 2,879
Downloads: 741
Download Rank: 17,546
References:  45

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.281 seconds