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

Mark Grinblatt and Tobias Moskowitz

Yale School of Management Working Papers from Yale School of Management

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

Date: 1999-10-01, Revised 2001-03-01
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:wpaper:ysm127

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