Dissecting stock price momentum using financial statement analysis Academic Article

abstract

• 2018 AFAANZ The literature on stock price momentum documents that past price performance predicts future price performance (over the next 312months). We argue that past price performance can be driven either by fundamentals or by non-fundamental reasons and financial statement analysis (FSA) can help distinguish between these drivers of past returns. We find that price momentum reverses where fundamentals are inconsistent with past price performance, allowing us to develop an investment strategy that outperforms a pure momentum strategy over 80 percent of the time. Overall, we document robust evidence on the usefulness of FSA for enhancing momentum strategies.

authors

• Ahmed, Anwer

published proceedings

• ACCOUNTING AND FINANCE

altmetric score

• 0.5

author list (cited authors)

• Ahmed, A. S., & Safdar, I.

citation count

• 12

publication date

• November 2018

publisher

• Wiley  Publisher

keywords

• Financial Statement Analysis
• Fundamental Analysis
• Stock Price Momentum

Digital Object Identifier (DOI)

• 10.1111/acfi.12358

start page

• 3

end page

• 43

volume

• 58

URL

• http://dx.doi.org/10.1111/acfi.12358