Momentum Profits, Factor Pricing, and Macroeconomic Risk

Posted: 15 Dec 2008

See all articles by Laura Xiaolei Liu

Laura Xiaolei Liu

Guanghua School of Management, Peking University

Lu Zhang, 张橹

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: November 2008

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.

Keywords: G12, E44

Suggested Citation

Liu, Laura Xiaolei and Zhang, Lu, Momentum Profits, Factor Pricing, and Macroeconomic Risk (November 2008). The Review of Financial Studies, Vol. 21, Issue 6, pp. 2417-2448, 2008. Available at SSRN: https://ssrn.com/abstract=1315613 or http://dx.doi.org/hhn090

Laura Xiaolei Liu (Contact Author)

Guanghua School of Management, Peking University ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://www.pku.edu.lauraliu.cn/en-home.html

Lu Zhang

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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