Journal of Financial and Quantitative Analysis · Volume 51, Issue 6 December 2016, pp. 1897-1923

时变的流动性和动量利润

作者：Avramov, doron (Hebrew University of Jerusalem), Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore)

摘要：一个基本的直觉是，当市场流动性最强时，套利更加容易。但令人惊讶的是，我们发现，流动市场状态下动量利润明显更大。这一发现不能被流动性风险变化、时变的风险因子暴露，或宏观经济条件、横截面回报离差和投资者情绪的变化所解释。总市场流动性对动量利润的预测绩效一致地超过了市场回报和市场波动状态。尽管动量策略过去十年中在美国、日本和欧元区国家已无利可图，但是它们在流动市场状态下仍然有效。

Time-Varying Liquidity and Momentum Profits

Avramov, doron (Hebrew University of Jerusalem), Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore)

ABSTRACT

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceeds that of market return and market volatility states. While momentum strategies have been unconditionally unprofitable in the United States, in Japan, and in the Eurozone countries in the last decade, they are substantial following liquid market states.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitletime-varying-liquidity-and-momentum-profitsdiv/8D7640128C725592F28D60BCD4091641

翻译：熊进宗