The Journal of Portfolio Management Summer 2016, Vol. 42, No. 4: pp. 96-107

短期反转策略和动量策略间的互动关系

作者：Zhaobo Zhu (International Business School-Shenzhen University); Kenneth Yung (Old Dominion University in Norfolk-VA.)

摘要：本文研究了短期反转策略和动量策略间的互动关系。作者发现过去较短一段时间内（历史短期）的赢家输家，其之后价格的反转程度与过去中等长度的一段时间内（历史中期）表现显著相关。历史中期的赢家持续表现较好，输家中历史短期表现最好的此后表现持续较弱。而动量策略中的输家（历史中期表现最差的20%）短期内价格显著反转（反转策略表现很好），历史短期表现最好的20%在中期内价格能够持续（动量策略表现很好）。作者的结果意味着投资者在动量策略（考虑历史中期）的基础上考虑短期历史价格可以获得更高的收益。该结果也表明，投资者在新的信息与此前主流投资观点相矛盾时，会坚持此前的主流观点。逼空和清仓甩卖（自我认识偏差）可能可以解释为什么动量策略中的赢家表现持续优异，输家中即使历史短期表现好的此后也会持续落后。

The Interaction of Short-Term Reversal and Momentum Strategies

Zhaobo Zhu (International Business School-Shenzhen University); Kenneth Yung (Old Dominion University in Norfolk-VA.)

ABSTRACT: This article investigates the interaction between short-term reversal and momentum strategies. The authors find that the magnitude of price reversals of short-term winners and losers is significantly related to past medium-term performance. Both past medium-term winners and losers with the best short-term performance experience the strongest price continuation. Short-term reversal strategies perform best in the momentum-loser quintile, and momentum strategies perform best in the short-term-winner quintile. The authors’ results imply that investors could achieve higher momentum profits by also considering short-term performance and vice versa. The results also suggest that investors adhere to prior dominant beliefs in the face of new contradictory information. Short squeezes and fire sales (self-attribution bias) may explain the continued underperformance (outperformance) of momentum losers (winners) with good short-term performance.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.4.096

翻译：陈爽