Unifying Underreaction Anomalies

42 Pages Posted: 23 Apr 2002

See all articles by Timothy C. Johnson

Timothy C. Johnson

London Business School; University of Illinois

Andrew Jackson

Vinva Investment Management; London Business School

Date Written: 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

Suggested Citation

Johnson, Tim and Jackson, Andrew, Unifying Underreaction Anomalies (May 2002). Available at SSRN: https://ssrn.com/abstract=298352 or http://dx.doi.org/10.2139/ssrn.298352

Tim Johnson (Contact Author)

London Business School ( email )

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University of Illinois ( email )

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Andrew Jackson

Vinva Investment Management ( email )

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Australia

HOME PAGE: http://www.vinva.com

London Business School ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

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