| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11480 |
| 来源ID | Working Paper 11480 |
| Momentum Profits and Macroeconomic Risk | |
| Laura X.L. Liu; Jerold B. Warner; Lu Zhang | |
| 发表日期 | 2005-07-11 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w11480 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569123 |
| 推荐引用方式 GB/T 7714 | Laura X.L. Liu,Jerold B. Warner,Lu Zhang. Momentum Profits and Macroeconomic Risk. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11480.pdf（245KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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