Financial Analysts Journal·VOL72,NO.5·September/October 2016

两个世纪的价格回报动量

作者：Christopher C. Geczy (University of Pennsylvania), Mikhail Samonov (University of Pennsylvania)

摘要：通过搜集到的1801年至1926年间美国证券价格的月度数据集，我们构建了价格-收益率动量策略，并将其应用于1925年之后的数据中进行样本外测试。研究中，额外时间序列数据验证了价格动量动态暴露于市场风险的证据，且这种暴露程度随市场的走势和状态的持续性而不同。平均而言，在积极的市场状态开始时刻，动量策略组合的贝塔系数与新的市场方向相反，这会在市场拐点附近对动量收益造成消极影响。研究证实，动态对冲的动量策略表现要显著优于没有对冲的策略。

Two Centuries of Price-Return Momentum

Christopher C. Geczy (University of Pennsylvania), Mikhail Samonov (University of Pennsylvania)

ABSTRACT

Having created a monthly dataset of US security prices between 1801 and 1926, we conduct out-of-sample tests of price-return momentum strategies that have been implemented in the post-1925 datasets. The additional time-series data strengthen the evidence that price momentum is dynamically exposed to market risk, conditional on the sign and duration of the trailing market state. On average, in the beginning of positive market states, momentum’s equity beta is opposite to the new market direction, which generates a negative contribution to momentum profits around market turning points. A dynamically hedged momentum strategy significantly outperforms the unhedged strategy.

原文链接：

http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n5.1

翻译：赵胜旺