Studies on price momentum, post-earnings announcement drift, and multi-factor asset pricing model

Abstract

This dissertation is composed of three dissertations. The first dissertation shows how price momentum, which is representative anomaly in the financial market, can be interpreted with theoretical and empirical studies. The second dissertation shows how post-earnings announcement drift, which is representative anomaly in the financial market, can be interpreted and difference between the measure using earnings and the measure using operating income with theoretical and empirical studies. The third dissertation shows possibility that multi-factor can be improved to a better single factor in the multi-factor asset pricing model with theoretical and empirical studies.