| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w20984
|
| 来源ID | Working Paper 20984
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| Fundamentally, Momentum is Fundamental Momentum |
| Robert Novy-Marx
|
| 发表日期 | 2015-03-02
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | Momentum in firm fundamentals, i.e., earnings momentum, explains the performance of strategies based on price momentum. Earnings surprise measures subsume past performance in cross sectional regressions of returns on firm characteristics, and the time-series performance of price momentum strategies is fully explained by their covariances with earnings momentum strategies. Controlling for earnings surprises when constructing price momentum strategies significantly reduces their performance, without reducing their high volatilities. Controlling for past performance when constructing earnings momentum strategies reduces their volatilities, and eliminates the crashes strongly associated with momentum of all types, without reducing the strategies' high average returns. While past performance does not have independent power predicting the cross section of expected returns, it does predicts stock comovements, and is thus important for explain cross sectional variation in realized returns. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w20984
|
| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578659
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推荐引用方式
GB/T 7714 |
Robert Novy-Marx. Fundamentally, Momentum is Fundamental Momentum. 2015.
|
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