Momentum Profits, Factor Pricing, and Macroeconomic Risk

By L. Liu, Lu Zhang. 2008

404 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e214d55bdde8d79f3ff44d48c681c2b348b6a83a

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Citations in the corpus

Time-Varying Liquidity and Momentum Profits (2016, positive): “In a recent paper, Liu and Zhang (2008) suggest that macroeconomic risk factors in Chen, Roll, and Ross (1986), and in particular the growth rate of industrial production, explains a significant portion of momentum profits.”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, positive): “As already discussed, Moskowitz et al. (2012) carry out one of the most comprehensive analyses of “time-series momentum” in equity index, currency, bond and commodity futures.”
Dissecting Investment Strategies in the Cross Section and Time Series (2015, methodology): “The algorithm building that signal is the following: (a) Select 3 sets of time-scale with each set consisting of a short and a long exponentially weighted moving average (EWMA) (b) Here, we have chosen Sk=(8,16,32) and Lk=(24,48,96).”
What Do Management Earnings Forecasts Convey About the Macroeconomy (2013, neutral): “See Christofferson et al. (2002), Flannery and Protopapadakis (2002), and Liu and Zhang (2008) for examples.”
Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, background): “…Gomes, Kogan, and Zhang (GKZ) (2003), Griffin, Ji, and Martin (2003), Grundy and Martin (2001), Gulen, Xing, and Zhang (2008), Hahn and Lee (2006), Jegadeesh and Titman (1993), (2002), Johnson (2002), Liu and Zhang (2008), Petkova and Zhang (2005), Sagi and Seasholes (2007), and Zhang (2005).”
Time Series Momentum (2012, methodology): “Following Lo and Mackinlay (1990) and Lewellen (2002), we can describe a simple cross-sectional and time series momentum strategy on the same assets as follows.”
Sparse Signals in the Cross‐Section of Returns (2018, neutral): “, 1998; Hong and Stein, 1999) and rational (Berk et al., 1999; Johnson, 2002; Ahn et al., 2003; Liu and Zhang, 2008) explanations for this return predictability have been suggested.”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “11 A similar point is made in Liu and Zhang (2008), who use the Fama-MacBeth approach to study the cross section of momentum portfolios.”