Journal of Financial Markets, Available online 12 January 2017, In Press, Accepted Manuscript — Note to users.

横截面因素动力和动量收益

作者：Doron Avramova (The Hebrew University of Jerusalem), Satadru Horeb (The Federal Reserve Bank of Boston)

摘要：我们在文中构建了一个结构模型，以相关的状态变量反应总消费和特定资产股息的联合动力。这一相关结构显示了横截面上股息对长期消费增长率的不同暴露程度，由此产生不同的消费贝塔。该差异解释了Daniel和Moskowitz（2016）提出的动量崩溃，因为在经济从衰退向复苏过程中，胜者组合的消费贝塔仍然很低，而输者组合的消费贝塔很快增长。因此，衰退期后动量策略的消费贝塔降低，相应的风险溢价也减少。

关键词：动量；横截面动力；长期风险；贝叶斯过滤

Cross-sectional factor dynamics and momentum returns

Doron Avramova (The Hebrew University of Jerusalem), Satadru Horeb (The Federal Reserve Bank of Boston)

ABSTRACT

We develop a structural model where joint dynamics of aggregate consumption and asset-specific dividends are governed by correlated state variables. The correlation structure implies distinct cross-sectional exposures of dividends to a long history of consumption growth rates, resulting in variation of consumption beta. Such variation rationalizes momentum crashes per Daniel and Moskowitz (2016), as the consumption beta of the Winner portfolios remain low after the economy recovers from a downturn, while the consumption beta of the Loser portfolios grow quickly. Thus, emerging from a recession, the consumption beta of the momentum strategy decreases, and so does risk premia.

Keywords：Momentum; Cross-Sectional dynamics; Long-run risk; Bayesian filtering

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418117300137

翻译：黄怡文