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...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11480 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "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. |
| Physical Description: | 27 S. graph. Darst. |
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| 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 |
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| 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 |