Review of Financial Studies Vol. 21 No. 6 2008

Momentum Profits, Factor Pricing, and Macroeconomic Risk

Laura Xiaolei Liu^1,2; Lu Zhang³

¹ Hong Kong University of Science and Technology · ² University of Hong Kong · ³ Finance Department,

Abstract

Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: [email protected]., Oxford University Press.

DOI

10.1093/rfs/hhn090

Volume

21

Issue

6

Pages

2417-2448

Language

en

Sources

openalex crossref

Cite

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