Journal of Financial Markets, Available online 15 July 2017, In Press, Corrected Proof

动量投资中的历史价格演变

作者：Li-Wen Chen (Department of Finance, National Chung Cheng University), Hsin-Yi Yu, Wen-Kai Wang (Department of Finance, National University of Kaohsiung)

摘要：我们发现在美国股票市场1962至2014年间，历史价格加速或减速的特征对动量投资的未来预期收益有预测作用。历史价格加速上涨的胜者组合，未来收益更高，而历史价格加速下跌的输者组合，未来表现更差。由此，买入过去加速上涨的胜者，卖出过去加速下跌的输者，收益比动量收益显著高出51.7%。这一收益不能归因于用于解释动量的因素。这一结果的可能原因包括外推偏差和过度反应。

关键词：动量；历史价格演变；外推；过度反应

Evolution of historical prices in momentum investing

Li-Wen Chen (Department of Finance, National Chung Cheng University), Hsin-Yi Yu, Wen-Kai Wang (Department of Finance, National University of Kaohsiung)

ABSTRACT

We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with accelerated historical price decreases perform more poorly in the future. Hence, the profit from buying past accelerated winners and shorting past accelerated losers is significantly higher than the momentum profit by 51.47%. Such profit cannot be subsumed by certain characteristics that have been considered to explain momentum. Possible explanations for our results include extrapolative bias and overreaction.

Keywords：Momentum; Historical price evolution; Extrapolation; Overreaction

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418117301921

翻译：黄怡文