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Unifying Underreaction Anomalies

Timothy C. Johnson
London Business School; University of Illinois

Andrew Jackson
Barclays Global Investors; London Business School

May 2002

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.

Keywords: momentum, underreaction, post-event drift

Working Paper Series

Date posted: April 23, 2002 ; Last revised: May 24, 2002

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

Tim Johnson (Contact Author) London Business School ( email ) Sussex Place Regent's Park London NW1 4SA NW1 4SA United Kingdom
University of Illinois ( email ) Urbana Champaign, IL 61820 United States
Andrew Jackson Barclays Global Investors ( email ) Advanced Strategies and Research Group 45 Fremont Street San Francisco, CA 94105 United States
London Business School ( email ) Sussex Place Regent's Park London NW1 4SA United Kingdom