Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Cash Flow News, Discount Rate News, And Momentum, Umut Celiker, Nuri Volkan Kayacetin, Raman Kumar, Gokhan Sonaer
Cash Flow News, Discount Rate News, And Momentum, Umut Celiker, Nuri Volkan Kayacetin, Raman Kumar, Gokhan Sonaer
Business Faculty Publications
We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013) that momentum is weaker when sentiment is pessimistic. We find that the higher momentum profits during aggregate positive cash flow news periods are primarily driven by the losers continuing to underperform in subsequent periods. Our …