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The model reproduces the coexistence of momentum profits and the value premium, the failure of the unconditional capital asset pricing model, the predictability of momentum profits by market states, and the long-term reversal of momentum profits. Empirical tests confirm a negative price of risk for the shock to the relative price of investment goods. <\/jats:p> This paper was accepted by Neng Wang, finance. <\/jats:p>","DOI":"10.1287\/mnsc.2017.2735","type":"journal-article","created":{"date-parts":[[2017,5,9]],"date-time":"2017-05-09T18:56:38Z","timestamp":1494356198000},"page":"4239-4260","source":"Crossref","is-referenced-by-count":31,"title":["Explaining Momentum and Value Simultaneously"],"prefix":"10.1287","volume":"64","author":[{"given":"Jun","family":"Li","sequence":"first","affiliation":[{"name":"Department of Finance and Managerial Economics, University of Texas at Dallas, Richardson, Texas 75080"}]}],"member":"109","reference":[{"key":"B1","unstructured":"Abel A, Eberly J (2002) Investment and q with fixed costs: An empirical analysis. 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