The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence
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
|Date of creation:||01 Oct 1999|
|Date of revision:||01 Mar 2001|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:ysm127. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.