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Sales order backlogs and momentum profits

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  • Gu, Li
  • Huang, Dayong

Abstract

Winner stocks have higher changes in sales order backlogs and a sales order backlog factor is significant in explaining various winner minus loser returns and often reduces the [alpha]s by big margins. We argue that this factor is a proxy for innovation in demand in the economy and it is likely to relate to expected growth risks and future business conditions.

Suggested Citation

  • Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
  • Handle: RePEc:eee:jbfina:v:34:y:2010:i:7:p:1564-1575
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
    2. Lam, Keith S.K. & Tam, Lewis H.K., 2011. "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2217-2230, September.
    3. Wang, Jun & Wu, Yangru, 2011. "Risk adjustment and momentum sources," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1427-1435, June.
    4. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.

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