Journal of Financial Markets, Available online 22 April 2017, In Press

宏观经济风险和动量收益季节性

作者：Xiuqing Ji (College of Business, Governors State University, University Park), J. Spencer Martin (Faculty of Business and Economics, University of Melbourne), Yaqiong Yao (Department of Accounting and Finance, Lancaster University Management School)

摘要：越来越多的研究关注宏观经济风险和股票价格动量间的关系。不只动量有季节性，股票收益的净因子暴露也具有季节性。我们的研究表明，胜者和输者仅在一月对宏观经济因子载荷存在差异，而一月输者的表现大大优于胜者。在一年的其他时候，动量效应存在，但胜者和输者的因子载荷几乎完全抵消。此外，宏观经济风险溢价的大小季节性地与动量反向变化。与之相反，相对新的盈利因子在捕捉已经发现的季节性上具有更好的表现。

关键词：动量；宏观经济风险；净资产收益率；季节性；一月效应

Macroeconomic risk and seasonality in momentum profits

Xiuqing Ji (College of Business, Governors State University, University Park), J. Spencer Martin (Faculty of Business and Economics, University of Melbourne), Yaqiong Yao (Department of Accounting and Finance, Lancaster University Management School)

ABSTRACT

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings in January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.

Keywords：Momentum; Macroeconomic risk; ROE; Seasonality; January effects

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418115300598

翻译：黄怡文