Firm-specific attributes and the cross-section of momentum

• 成果类型: Article
• 署名作者: Sagi, Jacob S.; Seasholes, Mark S.
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.02.002
• 发表日期: 2007
• 页码: 389-434
• 关键词: Asset pricing; Expected returns; momentum; Real options

摘要

This paper identifies observable firm-specific attributes that drive momentum. We find that a firm's revenues, costs, and growth options combine to determine the dynamics of its return autocorrelation. We use these insights to implement momentum strategies (buying winners and selling losers) with both numerically simulated returns and CRSP/Cornpustat data. In both sets of data, momentum strategies that use firms with high revenue growth volatility, low costs, or valuable growth options Outperform traditional momentum strategies by approximately 5% per-year. (c) 2006 Elsevier B.V. All rights reserved.