What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

Mark Grinblatt and Tobias Moskowitz

Yale School of Management Working Papers from Yale School of Management

Abstract: Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that also varies, somewhat sensibly, with th

Date: 2002-01-01, Revised 2002-02-01
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