Momentum Profits, Factor Pricing, and Macroeconomic Risk

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

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Year of publication:	[2009]
Authors:	Liu, Laura Xiaolei
Other Persons:	Zhang, Lu (contributor)
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (40 p)
Type of publication:	Book / Working Paper
Notes:	In: Review of Financial Studies, Forthcoming
Classification:	G12 - Asset Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

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