The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence

This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over va

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Year of publication:	1999-10-01
Authors:	Grinblatt, Mark ; Moskowitz, Tobias
Institutions:	School of Management, Yale University

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Extent:	application/pdf
Series:	Yale School of Management Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005368969