Loading...
Does Momentum in ICAPM State Variable Risk Premia Drive Characteristic Portfolio Momentum?
Nam, Soyun
Nam, Soyun
Citations
Altmetric:
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.
Comments
Description
Date
2026-04-14
Journal Title
Journal ISSN
Volume Title
Publisher
Collections
Research Projects
Organizational Units
Journal Issue
Keywords
Factor momentum, intertemporal capital asset pricing model, conditional asset pricing models, time-varying risk premia
Citation
Embargo Lift Date
2027-04-18
