Momentum profits and macroeconomic risk:
"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...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11480 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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 loadings on the growth rate of industrial production than losers. The loading dispersion derives mostly from the high, positive loadings of winners. Depending on model specification, this loading dispersion can explain up to 40% of momentum profits"--National Bureau of Economic Research web site. |
| Beschreibung: | 27 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV023591582 | ||
| 003 | DE-604 | ||
| 005 | 20100312 | ||
| 007 | t | ||
| 008 | 051020s2005 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)61196662 | ||
| 035 | |a (DE-599)BVBBV023591582 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 |a DE-19 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Liu, Laura Xiaolei |e Verfasser |0 (DE-588)130588229 |4 aut | |
| 245 | 1 | 0 | |a Momentum profits and macroeconomic risk |c Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2005 | |
| 300 | |a 27 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11480 | |
| 520 | 3 | |a "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 loadings on the growth rate of industrial production than losers. The loading dispersion derives mostly from the high, positive loadings of winners. Depending on model specification, this loading dispersion can explain up to 40% of momentum profits"--National Bureau of Economic Research web site. | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models | |
| 700 | 1 | |a Warner, Jerold B. |e Verfasser |0 (DE-588)130588261 |4 aut | |
| 700 | 1 | |a Zhang, Lu |d 1972- |e Verfasser |0 (DE-588)130536644 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11480 |w (DE-604)BV002801238 |9 11480 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w11480.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016906912 | ||
Datensatz im Suchindex
| _version_ | 1804138249111732224 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Liu, Laura Xiaolei Warner, Jerold B. Zhang, Lu 1972- |
| author_GND | (DE-588)130588229 (DE-588)130588261 (DE-588)130536644 |
| author_facet | Liu, Laura Xiaolei Warner, Jerold B. Zhang, Lu 1972- |
| author_role | aut aut aut |
| author_sort | Liu, Laura Xiaolei |
| author_variant | l x l lx lxl j b w jb jbw l z lz |
| building | Verbundindex |
| bvnumber | BV023591582 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)61196662 (DE-599)BVBBV023591582 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01983nam a2200373zcb4500</leader><controlfield tag="001">BV023591582</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100312 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">051020s2005 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)61196662</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023591582</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Liu, Laura Xiaolei</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)130588229</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Momentum profits and macroeconomic risk</subfield><subfield code="c">Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">27 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11480</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">"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 loadings on the growth rate of industrial production than losers. The loading dispersion derives mostly from the high, positive loadings of winners. Depending on model specification, this loading dispersion can explain up to 40% of momentum profits"--National Bureau of Economic Research web site.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometric models</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Warner, Jerold B.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)130588261</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Zhang, Lu</subfield><subfield code="d">1972-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)130536644</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">11480</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">11480</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w11480.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016906912</subfield></datafield></record></collection> |
| id | DE-604.BV023591582 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906912 |
| oclc_num | 61196662 |
| open_access_boolean | 1 |
| owner | DE-521 DE-19 DE-BY-UBM |
| owner_facet | DE-521 DE-19 DE-BY-UBM |
| physical | 27 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Liu, Laura Xiaolei Verfasser (DE-588)130588229 aut Momentum profits and macroeconomic risk Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang Cambridge, Mass. National Bureau of Economic Research 2005 27 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11480 "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 loadings on the growth rate of industrial production than losers. The loading dispersion derives mostly from the high, positive loadings of winners. Depending on model specification, this loading dispersion can explain up to 40% of momentum profits"--National Bureau of Economic Research web site. Ökonometrisches Modell Econometric models Warner, Jerold B. Verfasser (DE-588)130588261 aut Zhang, Lu 1972- Verfasser (DE-588)130536644 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11480 (DE-604)BV002801238 11480 http://papers.nber.org/papers/w11480.pdf kostenfrei Volltext |
| spellingShingle | Liu, Laura Xiaolei Warner, Jerold B. Zhang, Lu 1972- Momentum profits and macroeconomic risk National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Econometric models |
| title | Momentum profits and macroeconomic risk |
| title_auth | Momentum profits and macroeconomic risk |
| title_exact_search | Momentum profits and macroeconomic risk |
| title_exact_search_txtP | Momentum profits and macroeconomic risk |
| title_full | Momentum profits and macroeconomic risk Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang |
| title_fullStr | Momentum profits and macroeconomic risk Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang |
| title_full_unstemmed | Momentum profits and macroeconomic risk Laura X.L. Liu ; Jerold B. Warner ; Lu Zhang |
| title_short | Momentum profits and macroeconomic risk |
| title_sort | momentum profits and macroeconomic risk |
| topic | Ökonometrisches Modell Econometric models |
| topic_facet | Ökonometrisches Modell Econometric models |
| url | http://papers.nber.org/papers/w11480.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT liulauraxiaolei momentumprofitsandmacroeconomicrisk AT warnerjeroldb momentumprofitsandmacroeconomicrisk AT zhanglu momentumprofitsandmacroeconomicrisk |