•   •   •   •

Download the Paper (357 K, PDF file) - January 1, 1999 Tell a colleague about it. Printing Tips: Select 'print as image' in the Acrobat print dialog if you have trouble printing.

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 various horizons are strongly affected by a turn-of-the-year seasonal that differs for winter and losers, depending on both the tax environment and the month of the year, and differs by exchange listing. The analysis also uncovers a consistent winners effect – high fractions of positive return months tend to increase expected returns. Out-of-sample evidence suggests that the documented relation between past returns and expected returns cannot entirely be due to data snooping biases.

SUGGESTED CITATION:
Mark Grinblatt and Tobias J. Moskowitz, "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence" (January 1, 1999). Finance. Paper 24-99.
http://repositories.cdlib.org/anderson/fin/24-99