TY  - JOUR
AU  - Liu,Laura Xiaolei
AU  - Zhang,Lu
TI  - A Model of Momentum
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16747
PY  - 2011
Y2  - January 2011
UR  - http://www.nber.org/papers/w16747
L1  - http://www.nber.org/papers/w16747.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

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
AB  - Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model fails to reproduce procyclical momentum profits.
ER  -