Analysts' underreaction and momentum strategies

DOI10.1016/J.JEDC.2022.104560zbMath1518.91254MaRDI QIDQ6106625

Vitor Azevedo

Publication date: 3 July 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

momentumanalysts' forecastsanalysts' predictable errorpost-earnings announcement driftstock market anomaly

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Which Factors?*
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test of the Efficiency of a Given Portfolio
• Common risk factors in the returns on stocks and bonds

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