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Does Momentum in ICAPM State Variable Risk Premia Drive Characteristic Portfolio Momentum?

Nam, Soyun
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Abstract

This paper shows that momentum in risk premia associated with ICAPM state variables drives momentum in characteristic long-short portfolio returns. State variable risk premia exhibit momentum, and characteristic portfolios have substantial state variable exposures. State variable risk premia momentum explains an estimated 37% of characteristic portfolio momentum.

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Description
Date
2026-04-14
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Publisher
Research Projects
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Keywords
Factor momentum, intertemporal capital asset pricing model, conditional asset pricing models, time-varying risk premia
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Embargo Lift Date
2027-04-18
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