haku: @indexterm SCHOOLS / yhteensä: 46
viite: 25 / 46
| Tekijä: | Lewellen, J. |
| Otsikko: | MIT Sloan School of Management Momentum and Autocorrelation in Stock Returns |
| Lehti: | Review of Financial Studies
2002 : SUMMER, VOL. 15:2, p. 533-564 |
| Asiasana: | MANAGEMENT SCHOOLS STOCK RETURNS STOCKS |
| Kieli: | eng |
| Tiivistelmä: | This article studies momentum m stock returns focusing on the role of industry size and book to market (Â/M) factors. Size and Â/M portfolios exhibit momentum as strong as that m individual stocks and industries. The size and Â/M portfolios are well diversified, so momentum cannot be attributed to firm or industry specific returns. Further industry size and Â/M portfolios are negatively autocorrelated and cross serially correlated over intermediate horizons. The evidence suggests that stocks covary too strongly with each other. The author of the article argues that excess covariance, not underreaction, explains momentum in the portfolios. |
SCIMA