Predicted Returns and Sources of Momentum Profits

摘要：

Predictive regressions with macroeconomic predictors characterize reduced-form linear asset pricing models. We exploit the economic and statistical properties of predictive regressions to search for source of momentum profits. The predictive intercept and hence the predicted returns contain both a stock-specific component and a common-factor-related component. With a conditional two-tier sorting we document that both the predictive intercept and the macroeconomic-predictor-related part of predicted returns contribute to the momentum profits. By applying cross-sectional pricing-power tests to the momentum payos due to the predictive intercept, we find that such momentum payos are closely related to the predicted returns’ stock-specific component. Further, we report that about 50％ of winner/loser stocks affiliated with the raw-return-based momentum strategy are also winner/loser stocks of the conditional momentum strategies based primarily on either the macroeconomy-related part or the predictive intercept of predicted returns.

关键词： Momentum predictive regressions time-varying risk premium stock-specific component

作者: Qiang Kang Canlin Li

作者单位: Finance Department, University of Miami, Coral Gables, FL 33124-6552 Graduate School of Management, University of California-Riverside, 900 University Avenue, Riverside,

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-45

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）