Cash flow news, discount rate news, and momentum

Name: Cash flow news, discount rate news, and momentum
Author: Çeliker, Umut, Kayaçetin, Volkan, Kumar, R., Sonaer, G.

İsim	Cash flow news, discount rate news, and momentum
Yazar	Çeliker, Umut, Kayaçetin, Volkan, Kumar, R., Sonaer, G.
Basım Tarihi:	2016-11
Basım Yeri	- Elsevier
Konu	Momentum, Cash flow news, Asset pricing, Market efficiency
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0378-4266
Kayıt Numarası	1a1e6251-85b7-481e-a499-f8552e825b13
Lokasyon	International Finance
Tarih	2016-11
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013) that momentum is weaker when sentiment is pessimistic. We find that the higher momentum profits during aggregate positive cash flow news periods are primarily driven by the losers continuing to underperform in subsequent periods. Our findings are consistent with the Hong and Stein (1999) model in the sense that gradual diffusion of contradictory news is accentuated when change in wealth is positive and relatively more permanent.
DOI	10.1016/j.jbankfin.2016.07.016
Cilt	72

Kaynağa git Özyeğin Üniversitesi

Aramaya Dön

Özyeğin Üniversitesi

Kaynağa git

Cash flow news, discount rate news, and momentum

Yazar Çeliker, Umut, Kayaçetin, Volkan, Kumar, R., Sonaer, G.

Basım Tarihi 2016-11

Basım Yeri - Elsevier

Konu Momentum, Cash flow news, Asset pricing, Market efficiency

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0378-4266

Kayıt Numarası 1a1e6251-85b7-481e-a499-f8552e825b13

Lokasyon International Finance

Tarih 2016-11

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013) that momentum is weaker when sentiment is pessimistic. We find that the higher momentum profits during aggregate positive cash flow news periods are primarily driven by the losers continuing to underperform in subsequent periods. Our findings are consistent with the Hong and Stein (1999) model in the sense that gradual diffusion of contradictory news is accentuated when change in wealth is positive and relatively more permanent.

DOI 10.1016/j.jbankfin.2016.07.016

Cilt 72