Journal of Financial Markets，September 2018

谁在利用动量进行交易

作者：MarkusBaltzer(Deutsche Bundesbank)

StephanJank(Deutsche Bundesbank)

EsadSmajlbegovic (Erasmus University Rotterdam)

摘要：利用德国股票市场完全股权结构的独特数据，我们研究了不同投资者群体的动量和反向交易。外国投资者和金融机构，特别是共同基金，是动量交易者，而私人投资者则为反向交易者。处置效应仅部分解释了私人投资者的逆向交易。我们发现2007-2009年金融危机市场下滑期间，动量交易者的大量卖出过去的输家股票。研究证据表明，这些过度抛售推动股价低于其基本价值，并预测了2009年的动量崩盘。

关键词：动量异象;动量崩盘;投资者行为

Who trades on momentum?

MarkusBaltzer(Deutsche Bundesbank)；StephanJank(Deutsche Bundesbank)；EsadSmajlbegovic (Erasmus University Rotterdam)

ABSTRACT

Using unique data with the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, especially mutual funds, are momentum traders, whereas private investors are contrarians. The disposition effect only partly explains the aggregate contrarian trading of private investors. We document a substantial increase in sales of past loser stocks by momentum traders during the market decline associated with the recent financial crisis 2007–2009. Evidence indicates that these excessive sales pushed prices below their fundamental value and are predictive of the momentum crash in 2009.

Keywords: Momentum anomaly；Momentum crash；Investor behavior

原文链接：https://www.sciencedirect.com/science/article/abs/pii/S1386418117301507#!

翻译：黄涛