Earnings Momentum in International Markets

39 Pages Posted: 8 Apr 2003

See all articles by Dong Hong

Dong Hong

Singapore Management University - Lee Kong Chian School of Business

Charles M.C. Lee

Stanford University - Graduate School of Business

Bhaskaran Swaminathan

LSV Asset Management

Date Written: February 2003

Abstract

This paper examines the profitability of earnings momentum strategies based on analyst forecast revisions in eleven international equity markets. While analyst forecast revisions exhibit persistence in all countries, the profitability of trading strategies based on these revisions varies. Specifically, earnings momentum yields significant profits in Australia, Canada, France, Germany, Hong Kong, and the United Kingdom, but not in Malaysia, South Korea, Japan, Singapore, or Taiwan. Interestingly, price momentum exists only in those countries where earnings momentum is profitable. In general, markets with high levels of corruption (low investor protection) exhibit weak momentum. Collectively, these findings suggest that the momentum phenomenon is related to information dissemination mechanisms within a country.

JEL Classification: G12, G14, G15

Suggested Citation

Hong, Dong and Lee, Charles M.C. and Swaminathan, Bhaskaran, Earnings Momentum in International Markets (February 2003). Available at SSRN: https://ssrn.com/abstract=390107 or http://dx.doi.org/10.2139/ssrn.390107

Dong Hong (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
178899
Singapore

Charles M.C. Lee

Stanford University - Graduate School of Business ( email )

Stanford Graduate School of Business
655 Knight Way
Stanford, CA 94305-5015
United States
650-721-1295 (Phone)

Bhaskaran Swaminathan

LSV Asset Management ( email )

155 North Wacker Drive
Chicago, IL 60606
United States

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