Momentum, business cycle, and time-varying expected returns

• 成果类型: Article
• 署名作者: Chordia, T; Shivakumar, L
• 署名单位: Emory University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00449
• 发表日期: 2002
• 页码: 985-1019
• 关键词: STOCK RETURNS; CONTRARIAN PROFITS; strategies; overreaction; inflation; MARKETS; MODEL; bonds; size

摘要

A growing number of researchers argue that time-series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation of short-term returns or momentum is one such pattern that has defied any rational explanation and is at odds with market efficiency. This paper shows that profits to momentum strategies can be explained by a set of lagged macroeconomic variables and payoffs to momentum strategies disappear once stock returns are adjusted for their predictability based on these macroeconomic variables. Our results provide a possible role for time-varying expected returns as an explanation for momentum payoffs.