Momentum profits and macroeconomic risk
By: Laura X.L. Liu, Jerold B. Warner, Lu Zhang.
Contributors: Warner, Jerold B.; Zhang, Lu, 1972-; National Bureau of Economic Research.
Series: NBER working paper paper series -- no. 11480.; Working paper series (National Bureau of Economic Research) -- working paper no. 11480.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 27
Subjects: Econometric models
Description: "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.
Notes: "June 2005."

Includes bibliographical references (p. 17-18).

Also available in PDF from the NBER world wide web site (www.nber.org).