The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence
AbstractThis 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 va
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 503.
Date of creation:
Date of revision:
Contact details of provider:
Postal: 725 South Wells Street, Suite 800, Chicago, Illinois 60607-4501
Web page: http://gsbwww.uchicago.edu/fac/finance/papers/
More information through EDIRC
Other versions of this item:
- Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence," Yale School of Management Working Papers ysm127, Yale School of Management, revised 01 Mar 2001.
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.