The Journal of Portfolio Management Summer 2016, Vol. 42, No. 4: pp. 96-107

短期反轉策略和動量策略間的互動關系

作者：Zhaobo Zhu (International Business School-Shenzhen University); Kenneth Yung (Old Dominion University in Norfolk-VA.)

摘要：本文研究了短期反轉策略和動量策略間的互動關系。作者發現過去較短一段時間内（曆史短期）的赢家輸家，其之後價格的反轉程度與過去中等長度的一段時間内（曆史中期）表現顯著相關。曆史中期的赢家持續表現較好，輸家中曆史短期表現最好的此後表現持續較弱。而動量策略中的輸家（曆史中期表現最差的20%）短期内價格顯著反轉（反轉策略表現很好），曆史短期表現最好的20%在中期内價格能夠持續（動量策略表現很好）。作者的結果意味着投資者在動量策略（考慮曆史中期）的基礎上考慮短期曆史價格可以獲得更高的收益。該結果也表明，投資者在新的信息與此前主流投資觀點相矛盾時，會堅持此前的主流觀點。逼空和清倉甩賣（自我認識偏差）可能可以解釋為什麼動量策略中的赢家表現持續優異，輸家中即使曆史短期表現好的此後也會持續落後。

The Interaction of Short-Term Reversal and Momentum Strategies

Zhaobo Zhu (International Business School-Shenzhen University); Kenneth Yung (Old Dominion University in Norfolk-VA.)

ABSTRACT: This article investigates the interaction between short-term reversal and momentum strategies. The authors find that the magnitude of price reversals of short-term winners and losers is significantly related to past medium-term performance. Both past medium-term winners and losers with the best short-term performance experience the strongest price continuation. Short-term reversal strategies perform best in the momentum-loser quintile, and momentum strategies perform best in the short-term-winner quintile. The authors’ results imply that investors could achieve higher momentum profits by also considering short-term performance and vice versa. The results also suggest that investors adhere to prior dominant beliefs in the face of new contradictory information. Short squeezes and fire sales (self-attribution bias) may explain the continued underperformance (outperformance) of momentum losers (winners) with good short-term performance.

原文鍊接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.4.096

翻譯：陳爽