Another look at the cross-section and time-series of stock returns

1951 to 2011

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

We first provide a cleaner and comprehensive out-of-sample test of three competing asset-pricing models. Our results suggest that the value and momentum factors have pervasive pricing power. Motivated by Garlappi and Yan (2011), we then examine if there is a unifying risk-based explanation for the value and momentum effects. Different from previous studies, we utilize two aggregate indexes from the Federal Reserve Bank Chicago, which not only cover much broader sets of macroeconomic and financial variables but also capture their common movements. Empirically, we find stronger evidence that both value and momentum effects are in part explained by innovations in future macroeconomic conditions.

Original languageEnglish (US)
Pages (from-to)130-146
Number of pages17
JournalJournal of Empirical Finance
Volume20
Issue number1
DOIs
StatePublished - Jan 2013

Fingerprint

Value effect
Momentum effect
Cross section
Stock returns
Macroeconomic variables
Federal Reserve
Market power
Financial variables
Factors
Momentum
Innovation
Macroeconomic conditions
Asset pricing models

Keywords

  • Empirical asset pricing
  • Momentum
  • Stock returns
  • Value-growth effect

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Another look at the cross-section and time-series of stock returns : 1951 to 2011. / Du, Ding.

In: Journal of Empirical Finance, Vol. 20, No. 1, 01.2013, p. 130-146.

Research output: Contribution to journalArticle

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