Journal of Financial Markets·Volume 37·March 2018

动量投资中历史价格的演变

作者：Li-Wen Chen（Department of Finance, National Chung Cheng University）

Hsin-Yi Yu（Department of Finance, National University of Kaohsiung）

Wen-Kai Wang（Department of Finance, National University of Kaohsiung）

摘要：我们发现历史价格的加速和减速模式预测了1962年至2014年期间投资于美国股票市场的未来预期回报。历史价格上涨加速的赢家提供更高的未来预期回报，而历史价格下跌加速的输家则在未来表现更不好。因此，做多过去的加速赢家并做空过去的加速输家的盈利显著高于动量盈利51.47％。这种利润不能被某些被认为可以解释动量的特征所包容。我们的结果可能的解释包括外推偏见和过度反应。

关键词：动量，历史价格演变，外推，过度反应

Evolution of historical prices in momentum investing

Li-Wen Chen（Department of Finance, National Chung Cheng University）

Hsin-Yi Yu（Department of Finance, National University of Kaohsiung）

Wen-Kai Wang（Department of Finance, National University of Kaohsiung）

ABSTRACT

We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with accelerated historical price decreases perform more poorly in the future. Hence, the profit from buying past accelerated winners and shorting past accelerated losers is significantly higher than the momentum profit by 51.47%. Such profit cannot be subsumed by certain characteristics that have been considered to explain momentum. Possible explanations for our results include extrapolative bias and overreaction.

Keywords：Momentum, Historical price evolution, Extrapolation, Overreaction

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418117301921#!

翻译：何杉