Reexamining momentum profits: Underreaction or overreaction to firm-specific information?

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• 作者：Jungshik Hur ; Vivek Singh
• 关键词：Momentum ; Cointegration ; Underreaction ; Overreaction ; G12 ; G14 ; G20
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：46
• 期：2
• 页码：261-289
• 全文大小：602 KB
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• 作者单位：Jungshik Hur (1)
  Vivek Singh (2)
  
  1. Department of Economics and Finance, College of Business, Louisiana Tech University, Ruston, LA, USA
  2. Department of Accounting and Finance, College of Business, University of Michigan, Dearborn, Dearborn, MI, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Accounting and Auditing
  Econometrics
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-7179

文摘

We design a new measure and find that the predictability of past returns on future returns increases as stocks respond with delay to firm-specific information. Our results suggest that momentum is caused by both investors’ underreaction and overreaction to information. However, underreaction to information seems to be the primary cause, particularly during the more recent period. Our findings are robust for recent explanations of momentum profits and alternative methods for computing our measure. We also find that stocks respond with delay to firm-specific information, partly due to certain firm characteristics, and partly because they escape investor attention due to their low visibility. Our paper extends and refines Jegadeesh and Titman’s (J Financ 56(2):699–720, 2001) finding that momentum profits are consistent with behavioral models’ predictions regarding investors’ overreaction. Keywords Momentum Cointegration Underreaction Overreaction