Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?

Autor:	Vivekanand Nawosah, George Bulkley
Rok vydání:	2009
Předmět:	Economics and Econometrics Financial economics Accounting Economics Econometrics Portfolio Expected return Finance Stock (geology) Holding period
Zdroj:	Journal of Financial and Quantitative Analysis. 44:777-794
ISSN:	1756-6916 0022-1090
DOI:	10.1017/s0022109009990111
Popis:	It has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8ea3335705a7d91fb10948887725daf6 https://doi.org/10.1017/s0022109009990111 Zobrazit plný text záznamu Plný text ve formátu PDF