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 contribution | Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum |
|---|---|
| Original language | English |
| Pages (from-to) | 777 - 794 |
| Number of pages | 17 |
| Journal | Journal of Financial and Quantitative Analysis |
| DOIs | |
| Publication status | Published - Aug 2009 |
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