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Momentum Profits, Factor Pricing, and Macroeconomic Risk

dc.contributor.authorZhang, Lu
dc.contributorWarner, Jerold B.
dc.contributorLiu, Laura Xiaolei
dc.date.accessioned2006-10-12T19:40:05Z
dc.date.available2006-10-12T19:40:05Z
dc.date.issued2006-09
dc.identifier1050en
dc.identifier.urihttps://hdl.handle.net/2027.42/48730
dc.description.abstractWe study the connection between momentum portfolio returns and shifts in factor loadings on the growth rate of industrial production. Winners have temporarily higher loadings than losers. The loading spread derives mostly from the high, positive loadings of winners. Small stocks have higher loadings than big stocks, and value stocks have higher loadings than growth stocks. Using standard multifactor tests, we document evidence that the growth rate of industrial production is a priced risk factor. In most of our tests, however, the combined effect of factor pricing and risk shifts does not explain a large fraction of momentum returns.en
dc.format.extent296575 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.subjectMomentumen
dc.subjectthe growth rate of industrial productionen
dc.subjectmacroeconomic risken
dc.subjectexpected growthen
dc.subject.classificationFinanceen
dc.titleMomentum Profits, Factor Pricing, and Macroeconomic Risken
dc.typeWorking Paperen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.contributor.affiliationumRoss School of Businessen
dc.contributor.affiliationotherUniversity of Rochester - Simon Schoolen
dc.contributor.affiliationotherHong Kong University of Science & Technologyen
dc.contributor.affiliationumcampusAnn Arbor
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/48730/1/1050-Lu.pdfen_US
dc.owningcollnameBusiness, Stephen M. Ross School of - Working Papers Series


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