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Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence

Momentum has remained an unsettled anomaly in finance. In this paper, we examine the profitability of univariate and multivariate sorted momentum strategies based on prior returns, earnings surprises and revenue surprises using the data for 493 companies that form part of Bombay Stock Exchange (B...

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Main Authors: Sehgal, Sanjay, Jain, Kanu
Format: Article
Language:English
Published: Asian Academy of Management (AAM) 2015
Subjects:
HD28-70 Management. Industrial Management
Online Access:http://eprints.usm.my/40030/1/AAMJAF_11%281%29_2015-Art._3%2847-84%29.pdf
http://eprints.usm.my/40030/
http://web.usm.my/journal/aamjaf/11-1-3-2015.html
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spelling my.usm.eprints.40030 http://eprints.usm.my/40030/ Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence Sehgal, Sanjay Jain, Kanu HD28-70 Management. Industrial Management Momentum has remained an unsettled anomaly in finance. In this paper, we examine the profitability of univariate and multivariate sorted momentum strategies based on prior returns, earnings surprises and revenue surprises using the data for 493 companies that form part of Bombay Stock Exchange (BSE) 500 index in India from January 2002 to June 2010. Momentum profits are found to be persistent in the intermediate horizon (up to six months). Price momentum winners provide higher returns vis-à-vis earnings and revenue momentum winners. On long-short basis, earnings momentum strategy is most profitable. Earnings momentum is able to subsume price and revenue momentum. Further, the informational content of revenue surprises is incrementally very small. Triple sorted momentum portfolio using all the three criteria provides the highest return of 2.28% per month. The Capital Asset Pricing Model (CAPM) and the Fama-French model fail to explain these returns. The post-holding analysis reveals strong overreaction patterns for both winners as well as losers, thus, supporting the behavioural explanation. Momentum winners and losers perform better during market upturns. This study contributes to the asset pricing and behavioral finance literature especially for emerging markets such as India. Asian Academy of Management (AAM) 2015 Article PeerReviewed application/pdf en http://eprints.usm.my/40030/1/AAMJAF_11%281%29_2015-Art._3%2847-84%29.pdf Sehgal, Sanjay and Jain, Kanu (2015) Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence. Asian Academy of Management Journal of Accounting and Finance, 11 (1). pp. 1-38. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/11-1-3-2015.html
institution Universiti Sains Malaysia
building Hamzah Sendut Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Sains Malaysia
content_source USM Institutional Repository
url_provider http://eprints.usm.my/
language English
topic HD28-70 Management. Industrial Management
spellingShingle HD28-70 Management. Industrial Management
Sehgal, Sanjay
Jain, Kanu
Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
description Momentum has remained an unsettled anomaly in finance. In this paper, we examine the profitability of univariate and multivariate sorted momentum strategies based on prior returns, earnings surprises and revenue surprises using the data for 493 companies that form part of Bombay Stock Exchange (BSE) 500 index in India from January 2002 to June 2010. Momentum profits are found to be persistent in the intermediate horizon (up to six months). Price momentum winners provide higher returns vis-à-vis earnings and revenue momentum winners. On long-short basis, earnings momentum strategy is most profitable. Earnings momentum is able to subsume price and revenue momentum. Further, the informational content of revenue surprises is incrementally very small. Triple sorted momentum portfolio using all the three criteria provides the highest return of 2.28% per month. The Capital Asset Pricing Model (CAPM) and the Fama-French model fail to explain these returns. The post-holding analysis reveals strong overreaction patterns for both winners as well as losers, thus, supporting the behavioural explanation. Momentum winners and losers perform better during market upturns. This study contributes to the asset pricing and behavioral finance literature especially for emerging markets such as India.
format Article
author Sehgal, Sanjay
Jain, Kanu
author_facet Sehgal, Sanjay
Jain, Kanu
author_sort Sehgal, Sanjay
title Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
title_short Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
title_full Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
title_fullStr Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
title_full_unstemmed Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence
title_sort profitability of price, earnings and revenue momentum strategies: the indian evidence
publisher Asian Academy of Management (AAM)
publishDate 2015
url http://eprints.usm.my/40030/1/AAMJAF_11%281%29_2015-Art._3%2847-84%29.pdf
http://eprints.usm.my/40030/
http://web.usm.my/journal/aamjaf/11-1-3-2015.html
_version_ 1643709825380515840
score 13.211869

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