A Multi-momentum Potential

Are signals form firm earnings and revenue momentum additive to that from stock price momentum? In their March 2010 paper entitled “Price, Earnings, and Revenue Momentum Strategies”, Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin and Cheng-Few Lee examine the profitability and of a revenue momentum strategy, both standalone and in combination with price and earnings momentum strategies. They measure price momentum based on past stock returns, and earnings and revenue momentums with respect to historical earnings and revenues (not surprises relative to analyst forecasts). Using stock return, earnings and revenue data for a broad sample of U.S. stocks spanning 1974-2007, they conclude that: (more…)