Journal of Financial and Quantitative Analysis · Volume 52, Issue 1 February 2017, pp. 143-173

短期反转：历史回报和机构退出的影响

作者：Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore), Avanidhar Subrahmanyam (University of California at Los Angeles), Sheridan Titman (University of Texas at Austin)

摘要：上个季度的价格下跌导致随后两个月的强势反转。我们基于如下的双重观念来解释这一发现：流动性限制能影响反转和作为实际流动性提供者的代理人在过去的输家中可能不太活跃。为了支持这些观点，我们发现活跃的机构投资者更少参与亏损股票投资，并且每月回报反转的幅度随着活跃的机构投资者数量的变化而波动。因此，我们认为流动性限制导致过去回报的波动是反转与过去回报之间存在联系的原因。

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore), Avanidhar Subrahmanyam (University of California at Los Angeles), Sheridan Titman ABSTRACT

Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/shortterm-reversals-the-effects-of-past-returns-and-institutional-exits/7B9F21C81D419D4C51430E2CC376A649

翻译：熊进宗