Abstract

http://ssrn.com/abstract=188608
 
 

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The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence


Mark Grinblatt


University of California, Los Angeles (UCLA) - Finance Area; Yale University - International Center for Finance; National Bureau of Economic Research (NBER)

Tobias J. Moskowitz


University of Chicago - Booth School of Business

October 1999

CRSP Working Paper No. 503; Yale ICF Working Paper No. 99-09

Abstract:     
This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over various horizons are strongly affected by a turn-of-the-year seasonal that differs for winners and losers, depending on both the tax environment and the month of the year, and differs by exchange listing. The analysis also uncovers a consistent winners effect - high fractions of positive return months tend to increase expected returns. Out-of-sample evidence suggests that the documented relation between past returns and expected returns cannot entirely be due to data snooping biases.

Number of Pages in PDF File: 42

JEL Classification: G12, G14

working papers series


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Date posted: October 20, 1999  

Suggested Citation

Grinblatt, Mark and Moskowitz, Tobias J., The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence (October 1999). CRSP Working Paper No. 503; Yale ICF Working Paper No. 99-09. Available at SSRN: http://ssrn.com/abstract=188608 or http://dx.doi.org/10.2139/ssrn.188608

Contact Information

Mark Grinblatt
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-1098 (Phone)
310-206-5455 (Fax)
Yale University - International Center for Finance
Box 208200
New Haven, CT 06520-8200
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Tobias J. Moskowitz (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-2757 (Phone)
773-702-0458 (Fax)
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