My job market paper is a consumption-based study of price
momentum. I model the cross section of equity securities
inside a long-run risks economy of Bansal and Yaron (2004).
Consistent with the implications of the model, I show a new
empirical stylized fact: momentum portfolios have
time-varying long-run consumption betas and time-varying
expected returns. Simulations of a firm-level model produce
a substantial momentum effect while simultaneously
generating a large equity premium and matching other
relevant moments of the data such as transitions of
securities across momentum portfolios.
[ Click here for Momentum and Long-Run
Risks (Job Market Paper PDF) ]
