Financial Analyst Journal, Volume 72, Issue 5, 2016

横跨两个世纪的价格-收益动量策略

作者：Christopher C. Geczy (University of Pennsylvania),

Mikhail Samonov (University of Pennsylvania)

摘要：在对1801-1926年间的美国证券价格的月度数据创建数据集后，我们利用1925年后的数据对价格-收益动量策略进行了样本外检验。在控制追踪描述市场状态的变量符号及市场状态所持续时间的条件下，该附加的时间序列数据为价格动量动态地暴露于市场风险提供了进一步的证据支持。总之，在积极市场状态初期，基于动量策略的股票的贝塔值与新的市场方向是相反的，这对于在市场拐点附近的动量收益具有负面影响。本文表明一个动态对冲的动量策略显著优于未对冲的动量策略。

Two Centuries of Price-Return Momentum

Christopher C. Geczy (University of Pennsylvania), Mikhail Samonov (University of Pennsylvania)

ABSTRACT

Having created a monthly dataset of US security prices between 1801 and 1926, we conduct out-of-sample tests of price-return momentum strategies that have been implemented in the post-1925 datasets. The additional time-series data strengthen the evidence that price momentum is dynamically exposed to market risk, conditional on the sign and duration of the trailing market state. On average, in the beginning of positive market states, momentum’s equity beta is opposite to the new market direction, which generates a negative contribution to momentum profits around market turning points. A dynamically hedged momentum strategy significantly outperforms the unhedged strategy.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v72.n5.1

翻译：秦秀婷