Purpose

What explains patterns in stock prices is an important question. One such pattern, price momentum, is a well-known capital markets anomaly where recent stock price performance appears to continue into the future. This momentum is frequently thought to reflect delayed reaction by investors to unspecified information (i.e. underreaction). This study aims to provide a useful insight regarding momentum: potential mispricing related to accounting fundamentals appears to conceal longer-term reversals in price momentum. Controlling for these fundamentals reveals that price momentum reverses, indicating that investor overreaction is a potentially important source of stock price momentum. The evidence presented in this study emphasizes the importance of decoupling momentum and accounting fundamentals to achieve a more complete understanding of what explains stock price momentum.

Design/methodology/approach

This study explores this question by examining the longer-term performance of momentum stocks in the US market after decoupling it from performance related to accounting fundamentals using returns to fundamentals-based factors as controls in time series regressions.

Findings

This study finds evidence of clear reversals in the remaining price momentum. These reversals provide a new insight into the momentum effect because they imply that the component of price momentum not traceable to accounting fundamentals reflects investor overreaction rather than underreaction.

Originality/value

The findings indicate that the underlying nature of the information driving price movements is important to achieving a complete understanding of what explains price momentum. To the best of the author’s knowledge, no other study has examined the behavior of stock price momentum while controlling for accounting fundamentals.

中文翻译：

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将股票价格动量与会计基本原理脱钩

目的

解释股价模式的一个重要问题。价格动量就是这种模式之一，这是众所周知的资本市场异常现象，在这种异常情况下，最近的股价表现似乎会持续到未来。人们通常认为这种势头反映了投资者对未指定信息的反应延迟（即反应不足）。这项研究旨在提供有关动量的有用见解：与会计基本原理相关的潜在定价错误似乎掩盖了价格动量的长期逆转。通过控制这些基本面，可以发现价格动能反转了，这表明投资者过度反应是股票价格动能的潜在重要来源。

设计/方法/方法

这项研究通过使用基于基本要素的收益作为时间序列回归的控制因素，将动量股票从与会计基本面相关的表现中分离出来之后，研究了美国市场中动量股票的长期表现，从而探讨了这个问题。

发现

这项研究发现了剩余价格动能明显逆转的证据。这些逆转提供了对动量效应的新见解，因为它们暗示着无法追溯到会计基本原理的价格动量部分反映了投资者的过度反应，而不是反应不足。

创意/价值

研究结果表明，推动价格走势的信息的本质对于全面理解造成价格动量的因素很重要。就作者所知，没有其他研究在控制会计基本原理的同时检查股价动量的行为。