Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?
检验了动量效应是否可由股票无条件预期收益的横截面差异来解释，通过剔除每只股票的样本期平均收益后，发现动量效应消失。
Abstract It has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.