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

Content Provider	Scilit
Author	Bulkley, George Nawosah, Vivekanand
Copyright Year	2009
Description	It has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.
Related Links	http://pdfs.semanticscholar.org/04b0/5c91dcf1aba4ebfb12f3203fdebd629394b8.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/7DF2D1F889781AA1D301515A99A61ED6/S0022109009990111a.pdf/div-class-title-can-the-cross-sectional-variation-in-expected-stock-returns-explain-momentum-div.pdf
Ending Page	794
Page Count	18
Starting Page	777
ISSN	00221090
e-ISSN	17566916
DOI	10.1017/s0022109009990111
Journal	Journal of Financial and Quantitative Analysis
Issue Number	4
Volume Number	44
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2009-08-01
Access Restriction	Open
Subject Keyword	Journal of Financial and Quantitative Analysis Stock Returns Expected Return On Each Stock
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics