Pre-earnings announcement returns and momentum

Archana Jain, Chinmay Jain and Revansiddha Basavaraj Khanapure

Economics Letters, 2020, vol. 196, issue C

Abstract: The trading strategy of buying winners and selling losers based on returns prior to earnings announcements is profitable with mean returns of 0.58%–0.64% per month. The equal-weighted version of this strategy is not spanned by 4-factor Fama–French model.

Keywords: Behavioral finance; Momentum; Earnings (search for similar items in EconPapers)
JEL-codes: G10 G14 G30 G4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176520303177
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303177

DOI: 10.1016/j.econlet.2020.109521

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().