Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits
We contribute to the growing debate on the relation between macroeconomic risk and stock price momen...
Value and momentum generate abnormal returns for individual stocks within countries, stock indices a...
The paper investigates whether business cycle variables and behavioural biases can explain the profi...
We study the connection between momentum portfolio returns and shifts in factor loadings on the grow...
AbstractThis paper investigates the presence of momentum return when priced for risk factors. Using ...
This article tests whether macroeconomic variables and market sentiment influence the size of moment...
We show that economic activity plays an important role in explaining momentum-based anomalies. A sim...
We study empirically the changes in fundamentals for rms with price momentum. Recent winners have te...
We find that momentum strategy is exposed to economic downside risk. Momentum strategy generates eco...
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a ...
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a ...
We show that economic activity plays an important role in explaining momentum-based anomalies. A sim...
It is well established that recent prior winner and loser stocks exhibit return continuation; a mome...
Value and momentum returns and combinations of them across both countries and asset classes are expl...
This dissertation consists of three short essays. The first chapter, entitled “Industries Do Not Exp...
We contribute to the growing debate on the relation between macroeconomic risk and stock price momen...
Value and momentum generate abnormal returns for individual stocks within countries, stock indices a...
The paper investigates whether business cycle variables and behavioural biases can explain the profi...
We study the connection between momentum portfolio returns and shifts in factor loadings on the grow...
AbstractThis paper investigates the presence of momentum return when priced for risk factors. Using ...
This article tests whether macroeconomic variables and market sentiment influence the size of moment...
We show that economic activity plays an important role in explaining momentum-based anomalies. A sim...
We study empirically the changes in fundamentals for rms with price momentum. Recent winners have te...
We find that momentum strategy is exposed to economic downside risk. Momentum strategy generates eco...
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a ...
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a ...
We show that economic activity plays an important role in explaining momentum-based anomalies. A sim...
It is well established that recent prior winner and loser stocks exhibit return continuation; a mome...
Value and momentum returns and combinations of them across both countries and asset classes are expl...
This dissertation consists of three short essays. The first chapter, entitled “Industries Do Not Exp...
We contribute to the growing debate on the relation between macroeconomic risk and stock price momen...
Value and momentum generate abnormal returns for individual stocks within countries, stock indices a...
The paper investigates whether business cycle variables and behavioural biases can explain the profi...
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