Journal of Financial Markets, Available online 12 January 2017, In Press, Accepted Manuscript — Note to users.

橫截面因素動力和動量收益

作者：Doron Avramova (The Hebrew University of Jerusalem), Satadru Horeb (The Federal Reserve Bank of Boston)

摘要：我們在文中構建了一個結構模型，以相關的狀态變量反應總消費和特定資産股息的聯合動力。這一相關結構顯示了橫截面上股息對長期消費增長率的不同暴露程度，由此産生不同的消費貝塔。該差異解釋了Daniel和Moskowitz（2016）提出的動量崩潰，因為在經濟從衰退向複蘇過程中，勝者組合的消費貝塔仍然很低，而輸者組合的消費貝塔很快增長。因此，衰退期後動量策略的消費貝塔降低，相應的風險溢價也減少。

關鍵詞：動量；橫截面動力；長期風險；貝葉斯過濾

Cross-sectional factor dynamics and momentum returns

Doron Avramova (The Hebrew University of Jerusalem), Satadru Horeb (The Federal Reserve Bank of Boston)

ABSTRACT

We develop a structural model where joint dynamics of aggregate consumption and asset-specific dividends are governed by correlated state variables. The correlation structure implies distinct cross-sectional exposures of dividends to a long history of consumption growth rates, resulting in variation of consumption beta. Such variation rationalizes momentum crashes per Daniel and Moskowitz (2016), as the consumption beta of the Winner portfolios remain low after the economy recovers from a downturn, while the consumption beta of the Loser portfolios grow quickly. Thus, emerging from a recession, the consumption beta of the momentum strategy decreases, and so does risk premia.

Keywords：Momentum; Cross-Sectional dynamics; Long-run risk; Bayesian filtering

原文鍊接： http://www.sciencedirect.com/science/article/pii/S1386418117300137

翻譯：黃怡文