Journal of Financial Economics, Volume 122, Issue2, November 2016, Pages 221-247

動量崩潰

作者：Kent Daniel (Columbia Business School), Tobias J. Moskowitz (Yale University)

摘要：盡管能在大多數資産類别上獲取顯著為正的平均收益，但是動量策略也會經曆少見且持久的負回報。這樣的動量策略失效（動量崩潰）部分是可預測的。這種情況發生在恐慌狀态下，并且與市場反彈同期，此時伴随着市場下跌和較高的市場波動。在恐慌狀态下的事前預期低收益與條件高溢價期權相一緻，類似過去的輸家回報。一個可實施的動态動量策略是基于動量均值和方差的可預測性構建的，該動态動量策略可以獲取靜态動量策略兩倍的Alpha和夏普比率，并且該收益無法由其他因素解釋。該研究結果在多時期、國際股票市場以及其他類别的資産上都是穩健的。

關鍵詞：資産定價，市場異象，市場效率，動量

Momentum Crashes

Kent Daniel (Columbia Business School), Tobias J. Moskowitz (Yale University)

ABSTRACT

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in panic states, following market declines and when market volatility is high, and are contemporaneous with market rebounds. The low ex ante expected returns in panic states are consistent with a conditionally high premium attached to the option like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum’s mean and variance approximately doubles the alpha and Sharpe ratio of a static momentum strategy and is not explained by other factors. These results are robust across multiple time periods, international equity markets, and other asset classes.

Keywords: Asset pricing, Market anomalies, Market efficiency, Momentum

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16301490

翻譯：秦秀婷