Momentum Profits and Macroeconomic Risk
收藏NBER2005-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11480
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2005-07-01
