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The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence

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  • Mark Grinblatt
  • Tobias Moskowitz

Abstract

This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over va

Suggested Citation

  • Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence," Yale School of Management Working Papers ysm127, Yale School of Management, revised 01 Mar 2001.
    • Handle: RePEc:ysm:wpaper:ysm127
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    File URL: https://repec.som.yale.edu/icfpub/publications/2530.pdf
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