Dual Momentum: Cash Flows and Discount Rates

Woongki Lee
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Woongki Lee: Yonsei University

No pd47q_v1, SocArXiv from Center for Open Science

Abstract: Observed continuation in abnormal returns is best understood not as a primitive phenomenon, but as the combined effect of two channels: cash-flow momentum and discount-rate momentum. This two-channel view follows directly from the identity that decomposes abnormal returns into cash-flow news and discount-rate news. We show that these channels imply distinct patterns in the joint behavior of raw returns and normal returns, extending the analysis beyond the canonical facts of momentum. These patterns provide a diagnostic for assessing whether momentum profits are driven more by cash-flow momentum or by discount-rate momentum.

Date: 2026-08-05
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:pd47q_v1

DOI: 10.31235/osf.io/pd47q_v1

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