Journal of Empirical Finance, Volume 48, September 2018, Pages 255-278

企业投资对动量和反转效应的作用

作者：Sandra C.Mortal (University of Alabama)

Michael J.Schill (University of Virginia)

摘要：我们提出企业投资固有的时间延迟会导致观测到股票收益呈现动量和反转规律的时间发生延迟。我们通过实证研究检验了该理论假设背后的直觉，即实际上动量和反转效应不是孤立发生的，而是与公司投资的系统模式同时发生。例如，赢家组合只在拥有后续投资时继续维持赢家的位置，输家组合只在后续投资缩减的情况下继续处于输家的位置。虽然我们的论文是关于理解价格模式延迟的性质而不是检验交易策略，但我们的测试提出了提高交易回报的方法。我们的结果提供了关于动量和反转效应延迟的潜在来源的新证据。

关键词：收益的动量和反转效应；投资；资产增长

The role of firm investment in momentum and reversal

Sandra C.Mortal (University of Alabama), Michael J.Schill (University of Virginia)

ABSTRACT

We propose that the time delay inherent in firm investment is what creates the time delay in stock returns observed in the momentum and reversal regularities. We provide intuition for our hypothesis and show empirically that indeed the momentum and reversal effects occur not in isolation, but are concurrent with systematic patterns in firm investment. For example, winners only continue to win when there is also subsequent investment, and losers only continue to lose when there is also subsequent disinvestment. Although our paper is about understanding the nature of the price pattern delay rather than examining a trading strategy, our tests suggest ways to enhance trading returns. Our results provide novel evidence on a potential source of delay in momentum and reversals regularities.

Keywords: Return momentum and reversal; Investment; Asset growth

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300501

翻译：陈然