This study examines whether price momentum profit is related to earnings information in the Korean stock market. Through time-series and cross-sectional asset pricing tests, we find that price momentum profits are captured by return on equity; an earnings surprise or revenue surprise partially explains price momentum. The risk-based factor models cannot explain the existence of earnings-based momentum, because an earnings-based zero-investment portfolio is significantly negatively related to future macroeconomic variables such as gross domestic product and real consumption growth. On the other hand, the underreaction hypothesis is also not sufficient to explain why earnings-based momentum seems to capture price momentum.

中文翻译：

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韩国股市的动量和收益信息

本研究检验价格动量利润是否与韩国股市的盈利信息相关。通过时间序列和横截面资产定价测试，我们发现价格动量利润被股本回报率捕获；盈利意外或收入意外在一定程度上解释了价格动能。基于风险的因子模型无法解释基于收益的动量的存在，因为基于收益的零投资组合与未来的宏观经济变量（如国内生产总值和实际消费增长）显着负相关。另一方面，反应不足假设也不足以解释为什么基于收益的动量似乎捕捉到了价格动量。