Abstract
AbstractA productivity shock identified through a vector autoregression model is a priced risk factor for one‐month industry momentum portfolios and commands a positive risk premium. Stocks in winning industries have greater sensitivity to productivity news, thereby earning higher average returns than stocks in losing industries. This evidence lends support to an Intertemporal Capital Asset Pricing Model (ICAPM) with human wealth. In many specifications, exposure to productivity risk captures more than half of the observed industry momentum profits. This paper studies the sources of profits and attributes the risks of industry momentum portfolios to the behavior of their underlying cash flows.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
