Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
This 2015 paper studies momentum and trend following in equities using a linear factor model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We show that opposite signed exposure to capital share risk coincides with opposite signed exposure of value and momentum to the income shares of households in the top 10 versus bottom 90 percent of the stock wealth distribution.”
AssetEquities
StrategyMomentum
TechniqueLinear factor model
GeographyUSEurope
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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