One would think momentum is one anomaly. It may actually be two completely different behaviors hiding behind the same trade.

This paper shows investor attention strengthens price momentum but weakens earnings momentum. Stocks with high attention, especially on social media, show much stronger continuation after price trends, while low-attention stocks show the strongest post-earnings drift.

The spread is large: Attention increases price momentum profits by roughly 0.6–0.9% per month, while reducing earnings momentum by about 1% per month.

The implication is subtle but important: Not all momentum is driven by the same mechanism. Some momentum reflects delayed information diffusion. Some reflects amplified overreaction.

Price momentum and earnings momentum may not be the same trade.

Paper by Hou et al.: papers.ssrn.com/sol3/pa…