Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum

IG Bulkley, V Nawosah

Research output: Contribution to journalArticle (Academic Journal)

16 Citations (Scopus)

Abstract

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 contributionCan the Cross-Sectional Variation in Expected Stock Returns Explain Momentum
Original languageEnglish
Pages (from-to)777 - 794
Number of pages17
JournalJournal of Financial and Quantitative Analysis
DOIs
Publication statusPublished - Aug 2009

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