Abstract

http://ssrn.com/abstract=296643
 
 

Citations (4)



 


 



What Do We Really Know About the Cross-Sectional Relation
Between Past and Expected Returns?


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

December 2001

Yale ICF Working Paper No. 00-72

Abstract:     
Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that also varies, somewhat sensibly, with the season and the tax environment. Accounting for these additional effects using a parsimonious technical trading rule generates surprisingly large abnormal returns, despite controlling for microstructure effects, transaction costs, and date-snooping biases. The documented variation in profits across stock characteristics, season, and tax environment appears inconsistent with existing theory, but may point to future explanations for the relation between past and expected returns.

Number of Pages in PDF File: 50

JEL Classification: G12, G14

working papers series


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Date posted: January 25, 2002  

Suggested Citation

Grinblatt, Mark and Moskowitz, Tobias J., What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns? (December 2001). Yale ICF Working Paper No. 00-72. Available at SSRN: http://ssrn.com/abstract=296643 or http://dx.doi.org/10.2139/ssrn.296643

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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