Journal of Empirical Finance ·VOLUME 28· SEPTEMBER2014

对冲动量因子回报的时变风险暴露

作者：Martin Martens (Erasmus University Rotterdam), Arco van Oord (Erasmus University Rotterdam)

摘要：动量因子的回报对于Fama-French三风险因子的暴露是随着时间而变化的，尤其当因子在排序期的回报更高时，因子的承载系数也会更高。在本文中，作者研究了将动量因子对于Fama-French三风险因子随时间变化的暴露对冲后的因子回报，发现考虑因子承载系数随时间变化的条件性特征是最好的对冲方法。对冲过后的动量因子回报更高、风险更小，同时在不同的时间段和市场情况下都表现更加稳定。如果只使用估计出的单只股票的beta系数来确定动量因子的beta系数，会存在系统性的偏差而导致对冲不够有效。

关键词：动量因子；对冲；条件因子模型

Hedging the time-varying risk exposures of momentum returns

Martin Martens (Erasmus University Rotterdam), Arco van Oord (Erasmus University Rotterdam)

ABSTRACT

Momentum returns have time-varying exposures to the three Fama and French equity risk factors. In particular factor loadings are higher when the factor returns during the ranking period are higher. In this study we look at momentum returns after hedging these time-varying exposures to the Fama and French factors. We find that specifically taking into account the conditional nature of the time-variation in factor loadings is the best way to hedge. The hedged momentum returns are higher, less risky, more stable over time and vary less over different market conditions. Determining momentum betas based on estimated individual stock betas leads to systematic biases and hence is less effective in hedging.

Keywords: Momentum; Hedging; Conditional factor model

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539814000590

翻译：殷曼琳