This paper investigates the predictability of future stock returns based on past returns and past earnings surprises, focusing on the market's underreaction to information. The authors find that both past returns and past earnings surprises predict large drifts in future returns after controlling for the other. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Market risk, size, and book-to-market effects do not explain the drifts. Security analysts' earnings forecasts also respond sluggishly to past news, especially for stocks with the worst past performance. The results suggest that the market responds gradually to new information. The paper provides a comprehensive analysis of different earnings momentum strategies and compares their performance with price momentum strategies. It confirms that drifts in future returns over the next six and twelve months are predictable from a stock's prior return and prior earnings news. Each momentum variable has separate explanatory power for future returns, indicating that one strategy does not subsume the other. The paper also examines whether price and earnings momentum are subsequently corrected and finds that there is little evidence of reversals in returns. The findings suggest that the market's adjustment to new information is gradual, and security analysts' forecasts are slow to incorporate past earnings news.This paper investigates the predictability of future stock returns based on past returns and past earnings surprises, focusing on the market's underreaction to information. The authors find that both past returns and past earnings surprises predict large drifts in future returns after controlling for the other. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Market risk, size, and book-to-market effects do not explain the drifts. Security analysts' earnings forecasts also respond sluggishly to past news, especially for stocks with the worst past performance. The results suggest that the market responds gradually to new information. The paper provides a comprehensive analysis of different earnings momentum strategies and compares their performance with price momentum strategies. It confirms that drifts in future returns over the next six and twelve months are predictable from a stock's prior return and prior earnings news. Each momentum variable has separate explanatory power for future returns, indicating that one strategy does not subsume the other. The paper also examines whether price and earnings momentum are subsequently corrected and finds that there is little evidence of reversals in returns. The findings suggest that the market's adjustment to new information is gradual, and security analysts' forecasts are slow to incorporate past earnings news.