00Thaler_FM i-xxvi.qxd

Table

10.13

Returns for Portfolios Classified Based on Past Return Momentum and Earnings Momentum: Two-way Classification

This table presents the six-month and twelve-month returns for portfolios formed based on stock returns over the prior six mont

hs, stan-

dardized unexpected earnings (the change in the most recent past quarterly earnings per share from its value four quarters ago)

, scaled by

the standard deviation of unexpected earnings over the past eight quarters, and a moving average of the past six months’ revisi

ons in

IBES median analyst earnings forecasts relative to beginning-of-month stock price prior six-month returns. This table first rank

s stocks

independently based on each of these variables independently. The equal-weighted portfolios are formed with stocks in the inter

section

of the tertile ranks of two variables at a time.Panel A:

Standardized unexpected earnings and prior 6-month return

Standardized unexpected earnings

1(Low)

2

3

1

2

3

1

2

3(High)

Prior 6-month return

1(Low)

1

1

2

2

2

3

3

3(High)

First six months

5.5

9.4

8.5

7.6

10.6

1.13

7.4

11.8

13.6

First year

14.2

19.0

15.7

18.3

22.4

21.6

19.0

25.3

25.7

Panel B:

Revision in analyst forecasts and prior 6-month return

Revision in analyst forecasts

1(Low)

2

3

1

2

3

1

2

3(High)

Prior 6-month return

1(Low)

1

1

2

2

2

3

3

3(High)

First six months

4.2

6.3

8.5

7.7

8.8

11.2

9.3

10.3

0.13.0

First year

11.3

13.4

15.2

18.0

18.6

21.4

21.4

21.5

0.24.6

Panel C:

Revision in analyst forecasts and standardized unexpected earnings

Revision in analyst forecasts

1(Low)

2

3

1

2

3

1

2

3(High)

Standardized unexpected earnings

1(Low)

1

1

2

2

2

3

3

3(High)

First six months

5.1

6.5

9.3

8.4

9.3

11.1

9.3

9.6

12.1

First year

13.7

15.3

19.0

18.4

19.6

22.4

18.5

18.7

22.0

Source

: Chan, Jegadeesh, and Lakonishok, 1996.