动量和反转:涨的总是跌的吗?

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2015-06-19 DOI:10.2139/ssrn.2011148

Jennifer S. Conrad, M. Yavuz

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引用次数: 57

摘要

动量投资组合中的股票对动量利润有贡献，不会经历重大的后续逆转。相反，那些在中间阶段不会带来动量利润的股票则会出现随后的逆转。将这些独立的证券合并成一个单一的投资组合会导致动量和反转模式出现联系。通过对股票规模和账面市值比进行分类，可以将势头强劲的股票与表现逆转的股票区分开来。控制行为偏差、市场非流动性和宏观经济因素的代理并不影响我们的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal

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