【专题论文梳理】横截面动量专题论文集


(alphaplus) #1

我们将不定期就因子投资研究的特定主题的核心论文进行梳理。与我们早先的研究推文不同的是,这个系列以类似期刊目录的形式为您介绍论文原文,但会分类呈现,且包含主要贡献和引用量等更多维度的信息。此外,点击文章题目,便可以直接进入文章官方主页

仍然从我们的老朋友横截面动量开始吧。相关的基础推文,请参见【010】横截面动量那些事。


1. 异象的提出

[编号] 01

[题目] Returns to buying winners and selling losers: Implications for stock market efficiency

[作者] Narasimhan Jegadeesh, Sheridan Titman

[期刊] Journal of Finance

[年份/卷数] 1993, 48 (1)

[摘要] This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3‐to 12‐month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.

[核心贡献] 发现了横截面动量效应。

[引用数] 11991(截至 2020/07/20)

2. 更多实证研究

[编号] 02

[题目] International momentum strategies

[作者] K. Geert Rouwenhorst

[期刊] Journal of Finance

[年份/卷数] 1998, 53 (1)

[摘要] International equity markets exhibit medium‐term return continuation. Between 1980 and 1995 an internationally diversified portfolio of past medium‐term Winners outperforms a portfolio of medium‐term Losers after correcting for risk by more than 1 percent per month. Return continuation is present in all twelve sample countries and lasts on average for about one year. Return continuation is negatively related to firm size, but is not limited to small firms. The international momentum returns are correlated with those of the United States which suggests that exposure to a common factor may drive the profitability of momentum strategies.

[核心贡献] 提供了横截面动量效应的国际市场证据。

[引用数] 2367(截至 2020/07/20)

[编号] 03

[题目] Do industries explain momentum?

[作者] Tobias J. Moskowitz, Mark Grinblatt

[期刊] Journal of Finance

[年份/卷数] 1999, 54 (4)

[摘要] This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book‐to‐market equity, individual stock momentum, the cross‐sectional dispersion in mean returns, and potential microstructure influences.

[核心贡献] 提出了行业动量效应。

[引用数] 1816(截至 2020/07/20)

[编号] 04

[题目] Value and momentum everywhere

[作者] Clifford S. Asness, Tobias J. Moskowitz, Lasse H. Pedersen

[期刊] Journal of Finance

[年份/卷数] 2013, 68 (3)

[摘要] We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three‐factor model. Global funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum jointly across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities.

[核心贡献] 提供了动量(以及价值)在各类资产中广泛存在的证据。

[引用数] 2043(截至 2020/07/20)

3. 解释、批判与拓展

[编号] 05

[题目] Momentum crashes

[作者] Kent Daniel, Tobias J. Moskowitz

[期刊] Journal of Financial Economics

[年份/卷数] 2016, 122 (2)

[摘要] 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.

[核心贡献] 指出动量崩溃的存在且该效应在一定程度上可预测的。考虑了动量崩溃的动态动量策略可获得显著更高的风险调整后回报。

[引用数] 537(截至 2020/07/20)

[编号] 06

[题目] Investor psychology and security market under‐and overreactions

[作者] Kent Daniel, David Hirshleifer, Avanidhar Subrahmanyam

[期刊] Journal of Finance

[年份/卷数] 1998, 53 (6)

[摘要] We propose a theory of securities market under‐ and overreactions based on two well‐known psychological biases: investor overconfidence about the precision of private information; and biased self‐attribution, which causes asymmetric shifts in investors’ confidence as a function of their investment outcomes. We show that overconfidence implies negative long‐lag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, public‐event‐based return predictability. Biased self‐attribution adds positive short‐lag autocorrelations (“momentum”), short‐run earnings “drift,” but negative correlation between future returns and long‐term past stock market and accounting performance. The theory also offers several untested implications and implications for corporate financial policy.

[核心贡献] 指出投资者的自我归因导致投资者滞后的过度反应(delayed over-reaction),从而导致动量效应。作为对比,同样经典的 Hong and Stein (1999, JF) 则从投资者的反应不足出来来解释动量。

[引用数] 6214(截至 2020/07/20)

[编号] 07

[题目] Prospect theory, mental accounting, and momentum

[作者] Mark Grinblatt, Bing Han

[期刊] Journal of Financial Economics

[年份/卷数] 2005, 78 (2)

[摘要] The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a spread between a stock’s fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental values and the updating of reference prices, generates predictable equilibrium prices interpretable as possessing momentum. Empirically, a variable proxying for aggregate unrealized capital gains appears to be the key variable that generates the profitability of a momentum strategy. Controlling for this variable, past returns have no predictability for the cross-section of returns.

[核心贡献] 指出加总的未实现资本里的是解释动量效应的关键因素。Frazzini (2006, JF) 与其有非常类似的发现。

[引用数] 971(截至 2020/07/20)

[编号] 08

[题目] Individualism and momentum around the world

[作者] Andy CW Chui, Sheridan Titman, KC John Wei

[期刊] Journal of Finance

[年份/卷数] 2010, 65 (1)

[摘要] This paper examines how cultural differences influence the returns of momentum strategies. Cross‐country cultural differences are measured with an individualism index developed by Hofstede (2001), which is related to overconfidence and self‐attribution bias. We find that individualism is positively associated with trading volume and volatility, as well as to the magnitude of momentum profits. Momentum profits are also positively related to analyst forecast dispersion, transaction costs, and the familiarity of the market to foreigners, and negatively related to firm size and volatility. However, the addition of these and other variables does not dampen the relation between individualism and momentum profits.

[核心贡献] 发现文化可以解释动量在不同市场的表现。

[引用数] 1129(截至 2020/07/20)

[编号] 09

[题目] Is momentum really momentum?

[作者] Robert Novy-Marx

[期刊] Journal of Financial Economics

[年份/卷数] 2012, 103 (3)

[摘要] Momentum is primarily driven by firms’ performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for momentum strategies trading international equity indices, commodities, and currencies.

[核心贡献] 指出动量主要由股票过去 12-7 个月间的表现所驱动,而非近期走势的延续所致。

[引用数] 387(截至 2020/07/20)

[编号] 10

[题目] A trend factor: Any economic gains from using information over investment horizons?

[作者] Yufeng Han, Guofu Zhou, Yingzi Zhu

[期刊] Journal of Financial Economics

[年份/卷数] 2016, 122 (2)

[摘要] 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.

[核心贡献] 指出利用不同周期均线构建的趋势因子表现显著优于单独的短期反转、中期动量和长期反转。

[引用数] 60(截至 2020/07/20)

4. 彩蛋

[编号] A01

[题目] Residual momentum

[作者] David Blitz, Joop Huij, Martin Martens

[期刊] Journal of Empirical Finance

[年份/卷数] 2011, 18 (3)

[摘要] Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects.

[核心贡献] 指出相对于价格动量,残差动量可以有效减少对 Fama-French 因子的时变暴露,从而可获取更加稳健的超额收益。

[引用数] 156(截至 2020/07/20)

之所以称其为彩蛋,是因为此文发表在 JEF(显然非顶刊),且其理论支撑并不严谨。但该文发表于 2011 年,较 Momentum crashes 等经典文章早了很长时间,提出的方法却能达到较为相似的效果,且作者直到今年仍发表了关于这一主题的文章,可见其仍有一定价值(尤其是实践角度),因而作为彩蛋纳入。