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
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm127.
Date of creation: 01 Oct 1999
Date of revision: 01 Mar 2001
Other versions of this item:
- Mark Grinblatt & Tobias J. Moskowitz, . "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," CRSP working papers 503, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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