Productivity Risk and Industry Momentum
通过向量自回归模型识别的生产率冲击是行业动量组合的定价风险因子，赢家行业对生产率新闻更敏感，从而获得更高平均收益，该发现支持包含人力资本的跨期资本资产定价模型。
Abstract A productivity shock identified through a vector autoregression model is a priced risk factor for one‐month industry momentum portfolios and commands a positive risk premium. Stocks in winning industries have greater sensitivity to productivity news, thereby earning higher average returns than stocks in losing industries. This evidence lends support to an Intertemporal Capital Asset Pricing Model (ICAPM) with human wealth. In many specifications, exposure to productivity risk captures more than half of the observed industry momentum profits. This paper studies the sources of profits and attributes the risks of industry momentum portfolios to the behavior of their underlying cash flows.