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Another look at the cross-section and time-series of stock returns: 1951 to 2011: Working paper series--13-01

Du, Ding (2013) Another look at the cross-section and time-series of stock returns: 1951 to 2011: Working paper series--13-01. Working Paper. NAU W.A. Franke College of Business.

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Abstract

We first provide a cleaner and comprehensive out-of-sample test of three competing asset-pricing models. Our results suggest that the value and momentum factors have pervasive pricing power. Motivated by Garlappi and Yan (2011), we then examine if there is a unifying risk-based explanation for the value and momentum effects. Different from previous studies, we utilize two aggregate indexes from the Federal Reserve Bank of Chicago, which not only cover much broader sets of macroeconomic and financial variables but also capture their common movements. Empirically, we find stronger evidence that both value and momentum effects are in part explained by innovations in future macroeconomic conditions.

Item Type: Monograph (Working Paper)
Publisher’s Statement: Copyright, where appropriate, is held by the author.
ID number or DOI: 13-01
Keywords: Working paper, Empirical asset pricing, Momentum, Stock returns, Value-growth effect
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
NAU Depositing Author Academic Status: Faculty/Staff
Department/Unit: The W.A. Franke College of Business
Date Deposited: 15 Oct 2015 21:40
URI: http://openknowledge.nau.edu/id/eprint/1466

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