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The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence

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Author Info
Mark Grinblatt (Anderson School of Management)
Tobias Moskowitz (University Of Chicago)

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Abstract

This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over various horizons are strongly affected by a turn-of-the-year seasonal that differs for winter and losers, depending on both the tax environment and the month of the year, and differs by exchange listing. The analysis also uncovers a consistent winners effect high fractions of positive return months tend to increase expected returns. Out-of-sample evidence suggests that the documented relation between past returns and expected returns cannot entirely be due to data snooping biases.

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Paper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number 1100.

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Date of creation: 01 Jan 1999
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Handle: RePEc:cdl:anderf:1100

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