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Earnings momentum is often considered a key factor in stock price movements. In this study we look at changes in the compound quarterly growth rates over periods of four and eight quarters, and relate these to the price movements of 30 stocks from the Flyer Fund Portfolio. The period of an analyses covers two years from 8-31-11 to 8-31-13. Using cross sectional regression analyses, we identified the statistical relationship between sector price movements and variations in the compound manual growth rate in earnings period. We test the hypothesis that the slop coefficient of the univariate regressions are positive (i.e. b>0). The regressions are carried out separately for the eight quarter and four quarter CAGRs on stock price movements. A separate independent variable, the ratio of the four quarter CAGR to the eight quarter CAGR for each stock is also regressed on sector price movements. Meaningful R2s and statistically significant slope coefficients would suggest that CAGRs for short/intermediate time periods can be used as a selection factor in buying or selling stocks for the Flyer Fund Portfolio.
Robert Dean, Trevor Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
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Imhoff, Drew and Chkautovich, Matt, "Earnings Momentum Shifts and Stock Price Movements for Flyer Fund Stocks" (2014). Stander Symposium Posters. 432.
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