Mao, Mike Qinghao; Wei, K.C. John - In: Journal of Empirical Finance 28 (2014) C, pp. 332-351
We explain price and earnings momentum by investigating dynamics of cash flow (CF) news and discount rate (DR) news. We find that before the holding period, winners experience higher DR news than losers, which makes winners display lower ex-ante expected returns than losers. Momentum returns...