Economic activity and momentum profits: Further evidence
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DOI: 10.1016/j.jbankfin.2018.01.013
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More about this item
Keywords
Momentum; Industry momentum; Asset pricing; Cross-section of stock returns; Intertemporal CAPM; Macro risk factors; Linear multifactor models; Predictability of stock returns;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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