Chan, Louis K C; Jegadeesh, Narasimhan; Lakonishok, Josef - In: Journal of Finance 51 (1996) 5, pp. 1681-1713
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk,...