The Cross-Section of Risk and Return

Abstract

At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at http://www.nber.org/papers/w24164.ack NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

Momentum Without Crashes

“…On average, we obtain the difference in mean returns of the six portfolios formed daily on size and momentum of only 2.6% during our sample period. Not only is this dataset standard in the asset pricing literature, as used by e.g., Fama and French (1993), Carhart (1997), Novy-Marx (2012), andDaniel et al (2017), but we also report the performances of our strategies in term of alpha, i.e., the return in addition to compensation for aggregated risk factors, and as a result, it is crucial that our data is similar to those used to compute these factors.…”