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| In this study, monthly sales announcements of listed companies in Taiwan are used to estimate standardized unexpected sales (SUS). Sales momentum strategies, which buy sales winners (top 20% of SUS) and sell sales losers (bottom 20% of SUS), generate significant positive average returns over 1- to 12-month holding periods. Sales momentum effects persist even after controlling for sample period, season, exchange, industry, size, turnover, book-toprice, past return, earning surprise, and risk. I also find a relationship between sales momentum and earnings momentum. In addition, the cumulative average return in months 25 to 36 for the sales momentum portfolio is negative, which is consistent with the behavioral theories. The evidence supports that sales momentum is driven by behavioral biases. |
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| Sales Momentum, Risk, Overreaction, Underreaction, Behavioral bias |
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