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| Author: | Chordia, T. Shivakumar, L. |
| Title: | Momentum, business cycle, and time-varying expected returns |
| Journal: | Journal of Finance
2002 : APR, VOL. 57:2, p. 985-1019 |
| Index terms: | Macroeconomics Time series Profit Business cycles Investors Regression analysis Theories |
| Freeterms: | Expected returns |
| Language: | eng |
| Abstract: | A growing number of researchers argue that time-series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation of short-term returns or momentum is one such pattern that has defied any rational explanation and is at odds with market efficiency. It is shown that profits to momentum strategies can be explained by set of lagged macroeconomic variables and payoffs to momentum strategies disappear once stock returns are adjusted for their predictability based on these macroeconomic variables. |
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