King, R.G. and Rebelo, S.T. (1999) Resuscitating Real Business Cycles. In: Taylor, J.B. and Woodford, M., Eds., Handb Macroecon, North Holland, Amsterdam.

has been cited by the following article:

• TITLE: The Unexplainable Nature of Momentum Portfolio Returns

  AUTHORS: David J. Moore, George C. Philippatos

  KEYWORDS: Momentum, Productivity, Macroeconomic, CAPM, Asset Pricing

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.3, April 22, 2014

  ABSTRACT: We find that momentum portfolio returns are still unexplainable after addressing two major concerns in the “Investment Manifesto” of Lin and Zhang [1]: lack of economic basis in risk factor models and aggregate data measurement error. Our model represents a synthesis of the exchange economy model of Lucas and closed economy exogenous growth model of King and Rebelo. We mitigate data measurement error by utilizing firm-level financial data and production functions rather than macroeconomic data and utility functions. Although our results fail to completely explain momentum, they are consistent with the “Investment Manifesto” suggestion that firm-level market-to-book and productivity are important factors in describing returns.