Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...

To provide economic relief following the onset of the COVID-19 pandemic, the U.S. CARES Act granted an extra $600 per week in unemployment insurance (UI) benefit payments from late March through July 2020. This unprecedented increase in UI generosity caused weekly benefit payments to exceed...

Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...