Earnings and Price Momentum

By Tarun Chordia, L. Shivakumar. 2006

407 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e7f0db18398429ac322e7eb9691a9a32973eb36b

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Citations in the corpus

Financial reporting complexity and investor underreaction to 10-K information (2009, positive): “TP 9 PT Chordia and Shivakumar (2006) argue that price momentum is subsumed by a measure of investor underreaction to earnings news.”
On the Information Role of Stock Recommendation Revisions (2009, background): “…et al., 1987; Bernard and Thomas, 1989), the proportions of small and large trades (Bernard and Thomas, 1990; Battalio and Mendenhall, 2005), the proportion of informed trades (Easley et al., 2002; Sadka, 2006), and macroeconomic effects (Chordia and Shivakumar, 2006; Anilowski et al., 2007).”
Is Accruals Quality a Priced Risk Factor (2008, positive): “Significance in the second stage is not a sufficient condition because such a finding can be interpreted as evidence of risk, as in Fama and French (1993), or as evidence of mispricing, as in Daniel et al. (2001). Nevertheless, the test has been extensively used to determine whether a candidate vari”
Liquidity and the Post-Earnings-Announcement Drift (2009, positive): “With SUE as one of the dependent variables the coefficient on the past twelve-month returns declines and becomes statistically insignificant at the 5% level (see Chordia and Shivakumar (2005)).”
Short- and Long-Horizon Behavioral Factors (2019, positive): “Details on variable (13)Chordia and Shivakumar (2006) and Novy-Marx (2015a) construct PEAD factors and argue that the predictive power of past returns is subsumed by a zero-investment portfolio based on earnings surprises. Novy-Marx (2015b) uses a PEAD factor to price the ROE factor of Hou, Xue, and”
Conditional conservatism and cost of capital (2011, result): “These findings coincide with those reported in other studies (Fama and French 1993, Petkova 2006, Chordia and Shivakumar 2006, Core et al. 2008).”
Costly Information Processing: Evidence from Earnings Announcements (2008, result): “This is consistent with previous studies that suggest that the momentum factor explains some – but not all – of the profits from a PEAD strategy (Chan et al. (1996), Chordia and Shivakumar (2006)).”
Credit Ratings and the Cross-Section of Stock Returns (2009, methodology): “Chan and Chen (1991) and Fama and French (1992) argue that the size and bookto-market effects proxy for a priced distress risk factor.”
Anomalies and Financial Distress (2013, positive): “The price momentum anomaly is statistically insignificant in the presence of the earnings momentum anomaly, consistent with the findings of Chordia and Shivakumar (2006) that price and earnings momentum interact.”