Journal of Financial Markets·Volume 36·November 2017

宏观经济风险与动量利润的季节性

作者：Xiuqing Ji（College of Business, Governors State University）

J. Spencer Martin（Faculty of Business and Economics, University of Melbourne）

Yaqiong Yao（Department of Accounting and Finance, Lancaster University Management School）

摘要：宏观经济风险与股价动量之间关系的争论日益增加，本文对此做了一些研究。不仅动量是具有季节性的，净因子暴露也是如此。我们发现，赢家和输家仅在1月份的宏观经济因子载荷上具有不同的表现，即输家压倒性地胜过赢家的一个月。在一年里除了1月外的剩余时间里，动量确实存在，但赢家和输家的因子载荷几乎完全抵消。此外，宏观经济风险溢价的幅度与动量相比似乎存在季节性的变化。相反，相对较新的盈利因子在描述季节性方面表现得更好。

关键词：动量，宏观经济风险，净资产回报率，季节性，一月效应

Macroeconomic risk and seasonality in momentum profits

Xiuqing Ji（College of Business, Governors State University）

J. Spencer Martin（Faculty of Business and Economics, University of Melbourne）

Yaqiong Yao（Department of Accounting and Finance, Lancaster University Management School）

ABSTRACT

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings in January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.

Keywords：Momentum, Macroeconomic risk, ROE, Seasonality, January effects

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418115300598#!

翻译：何杉