Momentum Profits, Factor Pricing, and Macroeconomic Risk
研究发现近期赢家对工业生产增长率的因子载荷高于输家，且该宏观经济风险因子能解释一半以上的动量利润，表明风险在动量利润中起重要作用。
Recent winners have temporarily higher loadings than recent losers on the growth rate of industrial production. The loading spread derives mostly from the positive loadings of winners. The growth rate of industrial production is a priced risk factor in standard asset pricing tests. In many specifications, this macroeconomic risk factor explains more than half of momentum profits. We conclude that risk plays an important role in driving momentum profits. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org., Oxford University Press.