Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - Volkswirtschaftliche Fakultät, … - 2010
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of … momentum therefore serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset … momentum factor is found to contain incremental information for asset pricing. …