Financial Management · 28 June 2018

对政治信息的反应与价格动量

作者：Jawad M. Addoum (Cornell University),

Stefanos Delikouras (University of Miami),

Da Ke(University of South Carolina),

Alok Kumar (University of Miami)

摘要：本研究考察股票价格的动量是否由政治环境的变化引起。我们发现，动量利润集中在政治敏感的企业和行业。在1939至2016期间，做多在政治上不受欢迎的赢家投资组合（行业或公司）且做空在政治上有利的输家组合，这样的交易策略不会产生显著的动量利润。此外，我们基于政治敏感性的多空投资组合（POL）解释了每月23%-27%（42%-43%）的股票（行业）动量alphas。这种解释力集中在总统选举时，也就是当政治活跃度水平很高时。总的来说，我们的结果表明投资者对政治信息的反应产生了股票和行业收益的动量效应。

Under‐Reaction to Political Information and Price Momentum

Jawad M. Addoum (Cornell University), Stefanos Delikouras (University of Miami), Da Ke (University of South Carolina), Alok Kumar(University of Miami)

ABSTRACT

This study examines whether momentum in stock prices is induced by changes in the political environment. We find that momentum profits are concentrated among politically sensitive firms and industries. During the 1939 to 2016 period, a trading strategy with a long position in winner portfolios (industries or firms) that are politically unfavored and a short position in losers that are politically favored does not generate significant momentum profits. Further, our political sensitivity based long‐short portfolio (POL) explains 23–27% (42‐43%) of monthly stock (industry) momentum alphas. This explanatory power is concentrated around presidential elections, when the level of political activity is high. Collectively, our results suggest that investor under‐reaction to political information generates momentum in stock and industry returns.

原文链接：https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12241

翻译：施懿