动量交易是否会产生额外的下行风险?

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2021-12-29 DOI:10.1142/s201013922250001x

Victoria Dobrynskaya

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引用次数: 0

摘要

动量策略往往在市场崩溃期间提供低回报，当市场在大幅崩溃后反弹时，它们也会崩溃。这反映在零成本动量投资组合的正下行市场贝塔和负上行市场贝塔上。这种上行和下行风险的不对称对投资者不利，需要风险溢价。它是机械地产生的，因为基于过去资产表现的动量投资组合再平衡。上行和下行风险的不对称是不同地域和资产市场动量投资组合的一个强大的统一特征。动能溢价可以在标准资产定价框架内得到合理解释，即上行风险和下行风险的定价不同。

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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Does Momentum Trading Generate Extra Downside Risk?

Momentum strategies tend to provide low returns during market crashes, and they crash themselves when the market rebounds after significant crashes. This is reflected by positive downside market betas and negative upside market betas of zero-cost momentum portfolios. Such asymmetry in upside and downside risks is unfavorable for investors and requires a risk premium. It arises mechanically because of momentum portfolio rebalancing based on trailing asset performance. The asymmetry in upside and downside risks is a robust unifying feature of momentum portfolios in various geographical and asset markets. The momentum premium can be rationalized within a standard asset-pricing framework, where upside and downside risks are priced differently.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.