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The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence

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Author Info
Tobias J. Moskowitz () (Graduate School of Business)
Mark Grinblatt () (Finance Area)

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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 winners 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 Yale School of Management in its series Yale School of Management Working Papers with number ysm127.

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Date of creation: 20 Oct 1999
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Handle: RePEc:ysm:somwrk:ysm127

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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