Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?

Preprint OPEN
KiHoon Jimmy Hong ; Eliza Wu (2014)
  • Subject: Stock Returns; Fundamental Analysis; Momentum; State Space Model
    • jel: jel:G12 | jel:G14

This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of accounting variables in explaining cross-sectional stock returns. We apply both OLS and state-space modelling to a sample of firms included in the Russell... View more
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