Czaja MG, Kaufmann P, Scholz H (2013)
Publication Language: English
Publication Type: Journal article
Publication year: 2013
Publisher: risk.net
Book Volume: 2
Pages Range: 3-57
Journal Issue: 4
Recent literature indicates that stock characteristics proxying for behavioral
biases reinforce the earnings momentum effect. Using data from the investable
German HDAX index, we analyze whether returns of earnings momentum strate-
gies can be enhanced in a way that not only survives common risk adjustments but
also maintains profitability after trading costs. For our liquid stock universe, we
find that the rate of information diffusion has the strongest impact. A bivariate sort
on earnings momentum and market capitalization yields gross Carhart alphas of
up to 22% per year. The abnormal returns are largely robust to reasonable levels
of trading costs.
APA:
Czaja, M.-G., Kaufmann, P., & Scholz, H. (2013). Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty. Journal of Investment Strategies, 2(4), 3-57. https://doi.org/10.21314/JOIS.2013.028
MLA:
Czaja, Marc-Gregor, Philipp Kaufmann, and Hendrik Scholz. "Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty." Journal of Investment Strategies 2.4 (2013): 3-57.
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