Journal of Financial and Quantitative Analysis · Volume 51, Issue 6 December 2016, pp. 1897-1923

時變的流動性和動量利潤

作者：Avramov, doron (Hebrew University of Jerusalem), Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore)

摘要：一個基本的直覺是，當市場流動性最強時，套利更加容易。但令人驚訝的是，我們發現，流動市場狀态下動量利潤明顯更大。這一發現不能被流動性風險變化、時變的風險因子暴露，或宏觀經濟條件、橫截面回報離差和投資者情緒的變化所解釋。總市場流動性對動量利潤的預測績效一緻地超過了市場回報和市場波動狀态。盡管動量策略過去十年中在美國、日本和歐元區國家已無利可圖，但是它們在流動市場狀态下仍然有效。

Time-Varying Liquidity and Momentum Profits

Avramov, doron (Hebrew University of Jerusalem), Si Cheng (Chinese University of Hong Kong), Allaudeen Hameed (National University of Singapore)

ABSTRACT

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceeds that of market return and market volatility states. While momentum strategies have been unconditionally unprofitable in the United States, in Japan, and in the Eurozone countries in the last decade, they are substantial following liquid market states.

原文鍊接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitletime-varying-liquidity-and-momentum-profitsdiv/8D7640128C725592F28D60BCD4091641

翻譯：熊進宗