Journal article
Dynamic factors and the source of momentum profits
Journal of business & economic statistics, Vol.26(2), pp.211-226
04/01/2008
DOI: 10.1198/073500106000000648
Abstract
This article uses the dynamic principal component method to estimate a dynamic factor model for stock returns and identify the source of momentum profits. We find that momentum is a systematic-return phenomenon-momentum profits are due primarily to stock return response to a small number of dynamic systematic factors, and the contribution by the idiosyncratic component of stock return is statistically insignificant. We also find that the estimated dynamic factors can be partially related to observed economic factors.
Details
- Title: Subtitle
- Dynamic factors and the source of momentum profits
- Creators
- Tong Yao - University of Arizona
- Resource Type
- Journal article
- Publication Details
- Journal of business & economic statistics, Vol.26(2), pp.211-226
- Publisher
- Amer Statistical Assoc
- DOI
- 10.1198/073500106000000648
- ISSN
- 0735-0015
- eISSN
- 1537-2707
- Number of pages
- 16
- Language
- English
- Date published
- 04/01/2008
- Academic Unit
- Finance
- Record Identifier
- 9984380499902771
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