Unifying Underreaction Anomalies*

Abstract

This paper asks whether momentum and post-event drift are manifestations of the same underlying mechanism or whether they are separate phenomena. We find that both effects can be attributed to persistence in returns following news which affects expected earnings or earnings growth. Holding these quantities fixed, there is no momentum effect, nor is there post-event drift for our sample of events, which includes seasoned equity offerings, re-purchases, equity-financed mergers, and dividend initiations Two of the most convincingly documented stock market anomalies are momentum and post-event drift. Momentum refers to the persistent excess returns of winner portfolios over loser portfolios, where winners and losers are judged over a backwardlooking

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 35 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.