Journal of Empirical Finance·VOLUME 35 · January 2016

一个基于风险回报的对动量反转异象的解释

作者：G.Geoffrey Boot (Eli Broad Graduate School of Management, Michigan State University), Hung-GayFung (College of Business Administration, University of Missouri), Wai KinLeung (Nottingham University Business School China, University of Nottingham Ningbo)

摘要：本文研究了在1962年至2013年间美国股票回报表现出的动量反转效应的本质。作者使用了基于过去回报作为基准的多空资产组合的累积未来收益去分析动量反转效应，与许多前人的研究不同的是本文的结果表明动量反转效应是不存在的。作者证明了经常作为风险代理因子的市值因子最终表现强于动量因子一开始的表现，导致股价和股票回报向反方向移动，作者还说明了股价的后续移动有可能与机构交易有关。

关键词：资产定价、股票回报、动量、市值

A risk-return explanation of the momentum-reversal “anomaly”

G.Geoffrey Boot (Eli Broad Graduate School of Management, Michigan State University), Hung-GayFung (College of Business Administration, University of Missouri), Wai KinLeung (Nottingham University Business School China, University of Nottingham Ningbo)

ABSTRACT

This study investigates the nature of the momentum-reversal phenomenon exhibited by U.S. stock returns from 1962 to 2013. We use cumulative future returns of long–short portfolios, which are formed using prior returns as benchmarks, after portfolio formation to analyze the well-documented momentum-reversal pattern. Contrary to many previous studies our results demonstrate that there is no momentum-reversal anomaly. We show that size (market capitalization), which is often considered a proxy for risk, eventually dominates momentum's initial effect, causing stock prices and, hence, returns to move in the opposite direction. We demonstrate that this latter price movement is likely to be related to institutional trading.

Keywords: Asset pricing; Stock returns; Momentum; Market capitalization

原文链接：http://www.sciencedirect.com/science/article/pii/S092753981500105X#!

翻译：殷曼琳