Review of Financial Studies, May 2013, v. 26, iss. 5, pp. 1087-1145

關于動量和反轉的機構理論

作者：Dimitri Vayanos（London School of Economics and Political Science）,Paul Woolley（London School of Economics and Political Science）

摘要：本文提出基于投資基金資金流動的動量和反轉理論。投資者直接地或通過基金曆史表現判斷基金經理人的績效變化，并據此調整他們的資金投向。資金流動惰性強就表現為動量效應，因為理性價格沒有對預期未來現金流做出充分反應。而當資金流動推動價格背離内在價值時，反轉效應就會出現。除了動量和反轉效應，資金流動還會産生聯動效應、超前滞後效應、放大效應，這些效應在高異質性的風險資産中更顯著。我們在模型校驗中使用了共同基金回報和資金流動的證據，通過動量和價值策略實現了可觀的夏普比率。

An Institutional Theory of Momentum and Reversal

Dimitri Vayanos（London School of Economics and Political Science）,Paul Woolley（London School of Economics and Political Science）

ABSTRACT

We propose a theory of momentum and reversal based on flows between investment funds. Flows are triggered by changes in fund managers' efficiency, which investors either observe directly or infer from past performance. Momentum arises if flows exhibit inertia, and because rational prices underreact to expected future flows. Reversal arises because flows push prices away from fundamental values. Besides momentum and reversal, flows generate comovement, lead-lag effects, and amplification, with these being larger for high idiosyncratic risk assets. A calibration of our model using evidence on mutual fund returns and flows generates sizeable Sharpe ratios for momentum and value strategies.

原文鍊接：

http://rfs.oxfordjournals.org/content/26/5/1087.abstract

翻譯：黃怡文