Unifying underreaction anomalies
Subject
Finance, Finance
Publishing details
Publication Year
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, which includes seasoned equity offerings, re-purchases, equity-financed mergers, and dividend inititations and omissions.
Publication Research Centre
Institute of Finance and Accounting
Series Number
FIN 363
Series
IFA Working Paper
Available on ECCH
No
