Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum wi...
The strongest version of this narrative is that stock momentum isn’t just a byproduct of factor trends—there’s a distinct, stock-specific component tied to how markets digest earnings news. The study by Gerard and Jehl makes a compelling case by isolating returns around earnings announcements, showing this signal persists across regions and time, with lower systematic risk than traditional momentum. This challenges the critique that momentum profits are merely factor timing in disguise. The rese...