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| Tekijä: | Sagi, J.S. Seasholes, M.S. |
| Otsikko: | Firm-specific attributes and the cross-section of momentum |
| Lehti: | Journal of Financial Economics
2007 : MAY, VOL. 84:2, p. 389-434 |
| Asiasana: | assets pricing return on investment options models |
| Kieli: | eng |
| Tiivistelmä: | In this paper, observable firm-specific attributes driving momentum are identified. It is found that a firm's costs, revenues, and growth options combine to determine the dynamics of its return auto-correlation. These insights are used to implement momentum strategies (here as: mom-strs.) with both numerically simulated returns and CRSP/Compustat data. In both data sets, mom-strs. that use firms with high revenue growth volatility, low costs, or valuable growth options outperform traditional mom-strs. by appr. five percent per annum. |
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