Momentum Profits, Factor Pricing, and Macroeconomic Risk

• 成果类型: Article
• 署名作者: Liu, Laura Xiaolei; Zhang, Lu
• 署名单位: University of Michigan System; University of Michigan; Hong Kong University of Science & Technology; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn090
• 发表日期: 2008
• 页码: 2417
• 关键词: cross-section; Expected returns; stock returns; INFORMATION UNCERTAINTY; trading strategies; MARKET-EFFICIENCY; business-cycle; profitability; explanations; anomalies

摘要

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.