Momentum Strategies
检验过去收益对未来收益的可预测性是否源于市场对信息（特别是过去盈利消息）反应不足，发现过去收益和盈利意外各自独立预测未来收益漂移，且分析师预测也反应迟缓。
ABSTRACT We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book–to–market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The results suggest a market that responds only gradually to new information.