Financial Analysts Journal·VOL72,NO.5·September/October 2016

兩個世紀的價格回報動量

作者：Christopher C. Geczy (University of Pennsylvania), Mikhail Samonov (University of Pennsylvania)

摘要：通過搜集到的1801年至1926年間美國證券價格的月度數據集，我們構建了價格-收益率動量策略，并将其應用于1925年之後的數據中進行樣本外測試。研究中，額外時間序列數據驗證了價格動量動态暴露于市場風險的證據，且這種暴露程度随市場的走勢和狀态的持續性而不同。平均而言，在積極的市場狀态開始時刻，動量策略組合的貝塔系數與新的市場方向相反，這會在市場拐點附近對動量收益造成消極影響。研究證實，動态對沖的動量策略表現要顯著優于沒有對沖的策略。

Two Centuries of Price-Return Momentum

Christopher C. Geczy (University of Pennsylvania), Mikhail Samonov (University of Pennsylvania)

ABSTRACT

Having created a monthly dataset of US security prices between 1801 and 1926, we conduct out-of-sample tests of price-return momentum strategies that have been implemented in the post-1925 datasets. The additional time-series data strengthen the evidence that price momentum is dynamically exposed to market risk, conditional on the sign and duration of the trailing market state. On average, in the beginning of positive market states, momentum’s equity beta is opposite to the new market direction, which generates a negative contribution to momentum profits around market turning points. A dynamically hedged momentum strategy significantly outperforms the unhedged strategy.

原文鍊接：

http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n5.1

翻譯：趙勝旺