惯性策略

惯性策略SummaryReturnstobuyingwinnersandsellinglosers:implicationsforstockmarketefficiencyJegadeeshandTitman(1993)Contrarianinvestment,extrapolationandriskLakonishok,SheleiferandVishny(1994)2MotivationTechnicaltradingispervasiveamongprofessionalinvestorsAmajorityofthemutualfundstendtobuystocksthathaveincreasedinpriceoverthepreviousquarterValueLinerankingsarebasedprimarilyonpastperformanceValueinvestmentDecodeWarrenBuffett’sinvestmentphilosophyAnexample3ResearchQuestionsCanmomentumstrategiesgenerateabnormalreturns?Market—neutralstrategiesWhatareriskcharacteristicsofmarket—neutralportfolios?EvidencefromU.S.andChina4EvidencefromU.S.NYSEandAMEXstocksNewYorkStockExchangeAmericanStockExchangeTimeperiod:1965-1989Monthlyreturns5MomentumStrategiesRankthesecuritiesinascendingorderbasedonpastreturnsFormportfolioswithequalweightLosersWinnersBuythewinnersandsellthelosers6MomentumStrategiesJ-month/K-monthstrategy:Atthebeginningofeachmontht,rankthesecuritiesinascendingorderbasedontheirreturnsinthepastJmonths(J=3,6,9,12).Formtenportfolioswithequalweight.Losers---thetopdecile;Winners---thebottomBuythewinnersandsellthelosers,andholdforthenextKmonths(k=3,6,9,12).7Strategy(3,k)--Returns3.80%7.00%7.30%8.30%0%1%2%3%4%5%6%7%8%9%(3,3)(3,6)(3,9)(3,12)8Strategy(6,k)--Returns10.10%11.40%12.20%10.30%0%2%4%6%8%10%12%14%(6,3)(6,6)(6,9)(6,12)9Strategy(9,k)--Returns13.10%14.50%12.60%9.80%0%2%4%6%8%10%12%14%16%(9,3)(9,6)(9,9)(9,12)10Strategy(12,k)--Returns15.70%13.70%11.20%8.20%0%2%4%6%8%10%12%14%16%(12,3)(12,6)(12,9)(12,12)11MomentumProfitsJK3691233.8%7.0%7.3%8.3%610.1%11.4%12.2%10.3%913.1%14.5%12.6%9.8%1215.7%13.7%11.2%8.2%12RiskCharacteristicsBetasof6-month/6-monthdecileportfolios00.20.40.60.811.21.41.6p1p2p3p4p5p6p7p8p9p10beta(loser)(winner)13SizeMarketCapitalizationof6/6portfolios0100200300400500600700800p1p2p3p4p5p6p7p8p9p10MktCap.(milliondollars)(loser)(winner)14Long-termPerformancePerformanceofMomentumStrategyBasedonPast6MonthReturns-2%0%2%4%6%8%10%1357911131517192123252729313335MonthAfterFormationDateCumulativeReturn15OneFactorModelModelSpecification16SourcesofProfitsMomentumprofits:Cross-sectionalvarianceofexpectedreturn:Cross-sectionalvarianceoffactorsensitivityAveragecovarianceofidiosyncraticcomponentofreturns1710ittitErrrr1ittitErrrrSourcesofProfitsIftheprofitsarerelatedtothefirsttwotermsThentheprofitsarecompensationsforbearingsystematicriskIftheprofitsarerelatedtothe3rdtermThentheresultssuggestmarketinefficiency18SourcesofProfitsArewinnersriskierthanlosers?Beta,sizeThe1sttermThe2ndtermisnegativeThesystematicriskisunlikelytobethesourceofmomentumprofits19MomentumProfitsinSub-samplesSize-sortedsub-samplesBeta-sortedsub-samplesRisk-adjustedprofitsMarketmodelProfitsinJanuaryvs.othermonths20MomentumProfitsinSub-samplesSub-sampleanalysis(5-yearperiods)ProfitsasafunctionofholdingperiodsEvidencefromearlierperiods1927-1940,1941-1964DetailsintablesDetailsintables21参照原文70页表1,月收益，（）为t统计量AppeartobesomewhatrelatedtosizeandbetaLagerfirmsgeneratelowerabnormalreturnsforzerocoststrategy.Profitsareduetotheserialcorrelationinthefirm-specificcomponentofreturns.ConclusionForstockstradedintheU.S.Profitsfrommarket—neutraltradingstrategiesareeconomicallysignificant27ExtensionIIndustrymomentum:IndustrycomponentaccountsformostoftheindividualstockmomentumLongthe3industrieswiththehighestpast-returnShortthe3industrieswiththelowestpast-return28ExtensionIIDoesmomentumstrategyworkglobally?InternationalevidenceEuropeCanada,AustraliaAsia29InternationalEvidenceCountryBeginNo.ofStocksMom.ProfitsBrazil1994879.25%HongKong19841795.03%India199037510.03%Malaysia19861902.18%Pakistan1993117-3.54%Singapore19831121.21%SouthKorea1987588-8.75%Taiwan19891640.12%Ireland19905515.80%Italy197518410.82%Netherlands197519714.84%Spain19871003.91%Switzerland197518312.01%UK1975140413.08%30ExtensionIIIVolumemomentumBuystockswithhighvolumeShortstockswithlowvolume31VolumeMomentumWinners-Losers,DecilePortfolios(1965-1999)(3,3)(3,3)(3,3)(6,6)(6,6)(6,6)0%2%4%6%8%10%12%14%16%18%20%LowvolumeMediumVolumeHighvolumeAnnualizedreturn(3,3)(6,6)32ExtensionIVEarning’smomentumBuystockswithhighearnings(pershare)Shortstockswithlowearnings33END