Cross-Sectional and Time-Series Determinants of Momentum Returns
检验了动量收益的来源，发现横截面预期收益差异几乎无法解释动量利润，而时间序列依赖才是关键，对理解市场有效性有重要参考价值。
Portfolio strategies that buy stocks with high returns over the previous 3–12 months and sell stocks with low returns over this same time period perform well over the following 12 months. A recent article by Conrad and Kaul (1998) presents striking evidence suggesting that the momentum profits are attributable to cross-sectional differences in expected returns rather than to any time-series dependence in returns. This article shows that Conrad and Kaul reach this conclusion because they do not take into account the small sample biases in their tests and bootstrap experiments. Our unbiased empirical tests indicate that cross-sectional differences in expected returns explain very little, if any, of the momentum profits.