TY  - JOUR
AU  - Liu,Laura X.L.
AU  - Warner,Jerold B.
AU  - Zhang,Lu
TI  - Momentum Profits and Macroeconomic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11480
PY  - 2005
Y2  - July 2005
UR  - http://www.nber.org/papers/w11480
L1  - http://www.nber.org/papers/w11480.pdf
N1  - Author contact info:
Laura X. L. Liu
Finance Department
School of Business and Management
Hong Kong University of Science and Technology
Kowloon, Hong Kong
E-Mail: fnliu@ust.hk

Jerold B. Warner
William E. Simon Graduate School of Business Admin
University of Rochester
Carol Simon Hall, Wilson Boulevard
Rochester, NY 14627
E-Mail: warner@simon.rochester.edu

Lu Zhang
Fisher College of Business
The Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 585-267-6250
E-Mail: zhanglu@fisher.osu.edu
M2  - featured in NBER digest on 2005-07-11
AB  - Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher loadings on the growth rate of industrial production than losers. The loading dispersion derives mostly from the high, positive loadings of winners. Depending on model specification, this loading dispersion can explain up to 40% of momentum profits.
ER  -