{"title":"Business Cycle and Momentum Payoffs","authors":"Hyoseok (David) Hwang","doi":"10.2139/ssrn.1925933","DOIUrl":"https://doi.org/10.2139/ssrn.1925933","url":null,"abstract":"Expected returns vary over time along with business cycles. Momentum payoffs are lack of rational explanation. This paper examines how the time-varying expected returns affect each individual firm differently, and hence what the cross-sectional phenomena are. The result shows that the model based on a set of commonly used macroeconomic variables can explain momentum payoffs, implying that cross-sectional differences in expected returns as well as their variation through time can be a source of momentum payoffs.","PeriodicalId":403242,"journal":{"name":"Momentum and Sentiment","volume":"164 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121164975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}