Beta and Momentum

摘要：

Recent empirical findings seem to suggest that none of the momentum payo. is due to risk. In particular, it is shown that the CAPM fails grossly in explaining the momentum. In this paper, I study a theory on beta uncertainty and find that this extended version of the CAPM can rationalize a number of puzzling results on momentum. The key assumption is that events that drastically produce high/low ranking-period returns on the winners/losers also induce high uncertainty about the systematic risk estimates for these stocks. In light of the unusual returns and high beta uncertainty, investors revise their beta estimates for the winners and the losers. The beta adjustment creates momentum.

作者: Kevin Q. Wang

作者单位: Joseph L. Rotman School of Management University of Toronto 105 St George Street Toronto, Ontario M5S 3E6, Canada

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）