We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is … momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings … during January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does …

percent. The last evidence supports strongly the value relevance accounting theory that has not seen much support from …

best). The measure is used to price portfolios reflecting the size, value, and momentum premiums. While neither the … winner stocks in a momentum portfolio may have higher market betas than loser stocks …

Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor … behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction … overreaction explanation as the source of momentum effects. Furthermore, I show that when investor overreaction is low, momentum …