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- Title
Price and earnings momentum in Australian stock returns.
- Authors
Schneider, Paul; Gaunt, Clive
- Abstract
There is no prior published Australian research on earnings momentum and only one prior unpublished work of limited depth and scope. We provide some of the first Australian evidence on earnings momentum and revisit price momentum with the first Australian evidence of the behaviour of returns beyond 12 months. Price momentum is found to be a feature of this market, but there is some reversal of returns during the second year after portfolio formation, suggesting trend chasing behaviour. Earnings momentum is also present, but with weak continuation into the second year. Price momentum and earnings momentum are shown to provide independent explanatory power over future returns.
- Subjects
AUSTRALIA; WAGES; PORTFOLIO management (Investments); RATE of return; PRICES; PROFIT
- Publication
Accounting & Finance, 2012, Vol 52, Issue 2, p495
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2010.00395.x