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

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  • Mark Grinblatt
  • Tobias Moskowitz

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 va

Suggested Citation

  • 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.
  • Handle: RePEc:ysm:somwrk:ysm127
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    File URL: http://icfpub.som.yale.edu/publications/2530
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    Cited by:

    1. Zhiwu Chen & Jan Jindra, 2001. "A Valuation Study of Stock-Market Seasonality and Firm Size," Yale School of Management Working Papers ysm199, Yale School of Management.
    2. Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
    3. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    4. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.

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