It has been hypothesized that momentum might be rationally explained as a consequence of the cross-section variance of expected returns. We evaluate this explanation We find momentum effects vanish in demeaned returns.
|Translated title of the contribution||Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum|
|Pages (from-to)||777 - 794|
|Number of pages||17|
|Journal||Journal of Financial and Quantitative Analysis|
|Publication status||Published - Aug 2009|