Journal of Financial Economics, Volume 122, Issue2, November 2016, Pages 221-247

动量崩溃

作者：Kent Daniel (Columbia Business School), Tobias J. Moskowitz (Yale University)

摘要：尽管能在大多数资产类别上获取显著为正的平均收益，但是动量策略也会经历少见且持久的负回报。这样的动量策略失效（动量崩溃）部分是可预测的。这种情况发生在恐慌状态下，并且与市场反弹同期，此时伴随着市场下跌和较高的市场波动。在恐慌状态下的事前预期低收益与条件高溢价期权相一致，类似过去的输家回报。一个可实施的动态动量策略是基于动量均值和方差的可预测性构建的，该动态动量策略可以获取静态动量策略两倍的Alpha和夏普比率，并且该收益无法由其他因素解释。该研究结果在多时期、国际股票市场以及其他类别的资产上都是稳健的。

关键词：资产定价，市场异象，市场效率，动量

Momentum Crashes

Kent Daniel (Columbia Business School), Tobias J. Moskowitz (Yale University)

ABSTRACT

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in panic states, following market declines and when market volatility is high, and are contemporaneous with market rebounds. The low ex ante expected returns in panic states are consistent with a conditionally high premium attached to the option like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum’s mean and variance approximately doubles the alpha and Sharpe ratio of a static momentum strategy and is not explained by other factors. These results are robust across multiple time periods, international equity markets, and other asset classes.

Keywords: Asset pricing, Market anomalies, Market efficiency, Momentum

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16301490

翻译：秦秀婷