Leippold, Markus; Lohre, Harald - In: The European Journal of Finance 18 (2012) 6, pp. 535-573
In this paper, we find that price and earnings momentum are pervasive features of international equity markets even when controlling for data-snooping biases. For Europe, we show price momentum to be subsumed by earnings momentum on an aggregate level. However, this rationale can hardly be...