REVIEW OF FINANCE · VOL.21, ISSUE. 2 · MARCH 2017

动量和反转：上涨后总会下跌吗？

作者：Jennifer Conrad (University of North Carolina), M. Deniz Yavuz (Purdue University)

摘要：有利于获得动量利润的动量组合中的股票没有经历明显的反转。相反，在中期无助于动量利润的股票表现出随后的反转。将这些单独的证券合并成一个单一组合会导致动量和反转模式之间出现相互联系。具有动量的股票可以通过按规模和账面市值比排序与表现出反转的股票分离开来。控制代理行为偏差、市场流动性不足和宏观经济因素后，我们的结果不受影响。

Momentum and Reversal: Does What Goes Up Always Come Down?

Jennifer Conrad (University of North Carolina), Deniz Yavuz (Purdue University)

ABSTRACT

The stocks in a momentum portfolio, which contribute to momentum profits, do not experience significant subsequent reversals. Conversely, stocks that do not contribute to momentum profits over the intermediate horizon exhibit subsequent reversals. Merging these separate securities into a single portfolio causes momentum and reversal patterns to appear linked. Stocks with momentum can be separated from those that exhibit reversal by sorting on size and book-to-market equity ratio. Controlling for proxies for behavioral biases, market illiquidity, and macroeconomic factors does not affect our results.

原文链接：https://academic.oup.com/rof/article-abstract/21/2/555/2670016/Momentum-and-Reversal-Does-What-Goes-Up-Always?redirectedFrom=fulltext

翻译：陈然