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Momentum Profits and Macroeconomic Risk / Laura X.L. Liu, Jerold B. Warner, Lu Zhang.
- Format:
- Book
- Author/Creator:
- Liu, Laura X.L.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11480.
- NBER working paper series no. w11480
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- 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.
- Notes:
- Print version record
- July 2005.
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