PRINT THIS PAGE The cross-section of expected returns29/05/2001. Source: Anderson School, UCLA and University of Chicago, Graduate School of Business. Mark Grinblatt and Tobias J Moskowitz 
 Can past performance really be a good guide to future performance? This report from the University of Chicago GSB examines the complex relationship between expected and historical returns.
Documenting and uncovering new complexities in this relationship, this paper characterises the way past returns affect the cross-section of expected returns. Specifically, it shows that 'momentum and reversal effects associated with past returns over various horizons... are strongly affected by tax environments and time of the year'.
Section IV is of particular interest. It outlines the sectors with expected returns that are most affected by past returns.
Click here to view the report
Moskowitz is from the University of Chicago, Graduate School of Business. Grinblatt is from the Anderson School at UCLA.
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