One of the typical issues in financial literature is that the market tends to be overly pessimistic about value stocks, many of which are past losers. Therefore, over-reactions captured by measuring earnings surprise vary with past return levels. In this paper, we propose a new index for an...

The objective of this study is to investigate turnover information and to test whether this information affects asset returns. We explore the relationship between turnover and price momentum (reversals) for Japanese stocks. In the Japanese stock market, the return reversal effect is known to be...

The objective of this study is to investigate turnover information and to test whether this information affects asset returnｓ. We explore the relationship between turnover and price momentum (reversalｓ) for Japanese stocks. In the Japanese stock market, the return reversal effect is known to...

One of the typical issues in financial literature is that the market tends to be overly pessimistic about value stocks, many of which are past losers. Therefore, over-reactions might capture by measuring earnings surprise vary with past return levels. In this paper, we propose a new index for an...