We examine a sample of Value Line’s timeliness rank upgrades that occur immediately following earnings announcements and find that the pre-event price momentum has significant incremental explanatory power for the post-event drift, after controlling for the level of earnings surprise. Therefore, the drift following Value Line’s timeliness upgrades of the stocks that it covers cannot be construe...

Price volatility and investor overreactions are commonplace in experimental asset markets. Understanding the price dynamics in these markets is crucial for designing successful new trading institutions. We report on a series of experiments to test the predictions of a new momentum model using a dynamical systems approach. This model is then pitted against several standard models to predict pric...

The multi-group asset flow model for asset price dynamics incorporates distinct motivations, e.g., trend and fundamentals (value) and assessments of value by different groups of investors. The stability and bifurcation properties are established for the curve of equilibria. We prove that if all trader groups focus on fundamentals, then all equilibria are stable. For systems in which there is on...

Reversal is the current stylized fact of weekly returns. To the contrary, we find a robust and dominant momentum in one-week returns. The brief reversal that follows extreme weekly returns is itself followed by an opposing stream of continuation in returns. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the fu...

We analyze the impact of price trends on trading decisions of more than 40, 000 households with accounts at a major discount brokerage house. Buying and selling decisions of investors in our sample are influenced by short-term (less than 3 months) price trends. By comparing the observed distributions of average trend before buys and average trend before sells with the average trend distribution...

How do different databases define a firm? What are the rules for listing/de-listing firms across databases? In this paper we show that the listing/de-listing criteria across the CRSP and TAQ databases are different enough to impact the magnitude and direction of statistical profits of “momentum” portfolios. We show that while standard momentum returns established in the literature can be replic...

The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity...