Momentum Profits, Factor Pricing, and Macroeconomic Risk
نویسندگان
چکیده
منابع مشابه
Momentum Profits and Macroeconomic Risk
Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher loadings on the growth rate of industrial production than losers. The loading dispersion derives mostl...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2008
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhn090