We study the profitability of momentum trading using a consumption-based intertemporal asset pricing model where the risk factors are news about future long-run consumption growth as well as current consumption growth. We show that long-run consumption risk goes in the right direction in explaining the momentum profit: (i) winners have higher loadings than losers on the long-run consumption growth factor; (ii) long-run consumption growth factor is significantly priced in momentum portfolios; and (iii) our two-factor model explains more than half of momentum profits in standard factor regression model. Thus, our results lend support a view that momentum profits are at least partially derived from macroeconomic risk.
JEL classification: G12; G14.
Keywords: Long-run consumption risk; Consumption CAPM; Momentum profits.
학회소식
학회소식
[2011년 제 1차] Long-Run Consumption Risk and Momentum Profits
작성자 : 관리자
조회수 : 784
게시일 :
2011-02-23