Momentum

The 'Momentum' area summarizes papers implementing trading strategies based on recent changes in fundamentals. Long positions are taken in securities with improving fundamentals and short positions are taken in securities with deteriorating fundamentals. NOTE: You will not find any research using price or volume based momentum strategies on this site. We focus on strategies using fundamental analysis.

Bernard and Thomas (1990) ^aa: First paper to neatly tie post-earnings-announcement drift to momentum in quarterly earnings surprises.

Doyle, Lundholm and Soliman (2003) ^aa [Click Here to Download as PDF]: Extends Bernard and Thomas by using analyst consensus forecasts in place of time-series based earnings expectations and documents greater drift in future stock returns.