TY  - JOUR
AU  - Grinblatt,Mark
AU  - Moskowitz,Tobias J.
TI  - What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8744
PY  - 2002
Y2  - January 2002
UR  - http://www.nber.org/papers/w8744
L1  - http://www.nber.org/papers/w8744.pdf
N1  - Author contact info:
Mark Grinblatt
UCLA
Anderson Graduate School of Management
110 Westwood Plaza, Box 951481
Los Angeles, CA  90095-1481
Tel: 310/825-1098
Fax: 310/206-5455
E-Mail: mark.grinblatt@anderson.ucla.edu

Tobias J. Moskowitz
Booth School of Business
University of Chicago
5807 S. Woodlawn Ave.
Chicago, IL  60637
Tel: 773/834-2757
Fax: 773/702-0458
E-Mail: tobias.moskowitz@chicagobooth.edu
AB  - Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons.  We find the relation to be further complicated by the sign and consistency of the past return that also varies, somewhat sensibly, with the season and the tax environment. Accounting for these additional effects using a parsimonious technical trading rule generates surprisingly large abnormal returns, despite controlling for microstructure effects, transaction costs, and data-snooping biases.  The documented variation in profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to future explanations for the relation between past and expected returns.
ER  -