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Heterogeneous Beliefs and Momentum Profits

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Author Info
Verardo, Michela
Abstract

Recent theoretical models derive return continuation in a setting where investors have heterogeneous beliefs or receive heterogeneous information. This paper tests the link between heterogeneity of beliefs and return continuation in the cross-section of U.S. stock returns. Heterogeneity of beliefs about a firm s visibility, the speed of information diffusion, uncertainty about fundamentals, information precision, and volatility. The results in this paper are robust to the potential presence of short-sale constraints and are not explained by arbitrage risk.

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File URL: http://journals.cambridge.org/abstract_S0022109009990214
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 44 (2009)
Issue (Month): 04 (August)
Pages: 795-822
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:44:y:2009:i:04:p:795-822_99

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This page was last updated on 2009-12-14.

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