| This paper examines the relations among several trading strategies based on market underreactions to accounting data and market data. Specifically, I assess whether accounting data (earnings and financial ratios) contain information about future returns not contained in past returns and past volume, and vice versa. Results indicate that a trading strategy based on financial statement information, in conjunction with a trading strategy based on unexpected earnings, subsumes much of the information about future unexpected returns contained in past returns and volume. |
