澳大利亚股票收益的价格和收益势头

P. Schneider
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引用次数: 24

摘要

澳大利亚之前没有发表过关于盈利势头的研究,只有一篇深度和范围有限的未发表的作品。我们提供了一些关于收益势头的第一个澳大利亚证据,并重新审视了价格势头,并提供了澳大利亚第一个超过12个月的回报行为的证据。价格动量被发现是这个市场的一个特征,但在投资组合形成后的第二年,回报率出现了一些逆转,表明有趋势追逐行为。盈利势头也在,但持续到第二年的势头仍很弱。价格动量和收益动量对未来收益提供了独立的解释力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Price and Earnings Momentum in Australian Stock Returns
There is no prior published Australian research on earnings momentum and only one prior unpublished work of limited depth and scope.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.
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