Journal of Financial Economics, Volume 122, Issue 2, November 2016, Pages 352-375, ISSN 0304-405X
作者：Yufeng Han (Belk College of Business, University of North Carolina), Guofu Zhou (Olin School of Business, Washington University; China Academy of Financial Research; China Economics and Management Academy), Yingzi Zhu (School of Economics and Management, Tsinghua University)
摘要：本文通過一般均衡模型，利用不同投資期限中的移動平均股價信息，提供了一個趨勢因子，該因子可以同時捕捉短期、中長期和長期三種期限下的股價趨勢。該趨勢因子基本上超過了衆所周知的短期反轉因子、動量因子和長期反轉因子（這三個因子分别基于三種股價趨勢），其夏普比率是這三個因子的兩倍。在最近的金融危機中，趨勢因子的月收益率為0.75%，而市場為-2.03%，短期反轉因子為-0.82%，動量因子為-3.88%，長期反轉因子為0.03%。在進行了另外的構造方式和控制了其他變量後，趨勢因子的表現仍然穩健。從資産定價的角度來看，趨勢因子在解釋股票的橫截面收益率上也表現良好。
關鍵詞：趨勢，移動平均，信息不對稱，可預測性，動量，因子模型
A trend factor: Any economic gains from using information over investment horizons?
Yufeng Han (Belk College of Business, University of North Carolina), Guofu Zhou (Olin School of Business, Washington University; China Academy of Financial Research; China Economics and Management Academy), Yingzi Zhu (School of Economics and Management, Tsinghua University)
ABSTRACT
In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It outperforms substantially the well-known short-term reversal, momentum, and long-term reversal factors, which are based on the three price trends separately, by more than doubling their Sharpe ratios. During the recent financial crisis, the trend factor earns 0.75% per month, while the market loses ? 2.03 % per month, the short-term reversal factor loses ? 0.82 % , the momentum factor loses ? 3.88 % , and the long-term reversal factor barely gains 0.03%. The performance of the trend factor is robust to alternative formations and to a variety of control variables. From an asset pricing perspective, it also performs well in explaining cross-section stock returns.
Keywords: Trends; Moving averages; Asymmetric information; Predictability; Momentum; Factor models
原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16301271
翻譯：吳雨玲
