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A Model of Momentum / Laura Xiaolei Liu, Lu Zhang.
- Format:
- Book
- Author/Creator:
- Liu, Laura Xiaolei.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16747.
- NBER working paper series no. w16747
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2011.
- Summary:
- Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model fails to reproduce procyclical momentum profits.
- Notes:
- Print version record
- January 2011.
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