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We examine the profitability of price and earnings momentum strategies. We find that price momentum profits are higher among high volume stocks and in up markets, while earnings momentum profits are higher among low volume stocks and in down markets. In the long run, price momentum profits are reversed, while earnings momentum profits are not. The dichotomy between price and earnings momentum is more pronounced when we orthogonalize one with respect to the other. To the extent that trading volume increases with investor attention and that investors tend to pay more attention to stocks in up markets, our results suggest a dual role of investor attention: while price underreaction to earnings news declines with investor attention, price continuation caused by investors'overreaction rises with attention.

A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum