Review of Financial Studies, May 2013, v. 26, iss. 5, pp. 1087-1145

关于动量和反转的机构理论

作者：Dimitri Vayanos（London School of Economics and Political Science）,Paul Woolley（London School of Economics and Political Science）

摘要：本文提出基于投资基金资金流动的动量和反转理论。投资者直接地或通过基金历史表现判断基金经理人的绩效变化，并据此调整他们的资金投向。资金流动惰性强就表现为动量效应，因为理性价格没有对预期未来现金流做出充分反应。而当资金流动推动价格背离内在价值时，反转效应就会出现。除了动量和反转效应，资金流动还会产生联动效应、超前滞后效应、放大效应，这些效应在高异质性的风险资产中更显著。我们在模型校验中使用了共同基金回报和资金流动的证据，通过动量和价值策略实现了可观的夏普比率。

An Institutional Theory of Momentum and Reversal

Dimitri Vayanos（London School of Economics and Political Science）,Paul Woolley（London School of Economics and Political Science）

ABSTRACT

We propose a theory of momentum and reversal based on flows between investment funds. Flows are triggered by changes in fund managers' efficiency, which investors either observe directly or infer from past performance. Momentum arises if flows exhibit inertia, and because rational prices underreact to expected future flows. Reversal arises because flows push prices away from fundamental values. Besides momentum and reversal, flows generate comovement, lead-lag effects, and amplification, with these being larger for high idiosyncratic risk assets. A calibration of our model using evidence on mutual fund returns and flows generates sizeable Sharpe ratios for momentum and value strategies.

原文链接：

http://rfs.oxfordjournals.org/content/26/5/1087.abstract

翻译：黄怡文