Journal of Financial & Quantitative Analysis. Volume 50, Issue 6 December 2015 , pp. 1237-1267

动量是回声吗🙅？

作者：Amit Goyal (University of Lausanne, Swiss Finance Institute)

Sunil Wahal (Arizona State University, Carey School of Business)

摘要：在美国🧔‍♀️，利用前12-7个月信息构建的动量组合比利用前6-2个月的信息构建的投资组合能获得更高的未来收益，暗示收益率中存在“回声”🏌🏼。但在除美国之外的37个国家中，都没有充分的证据表明回声的存在。利用发达和新兴市场或者三大地理区域（除去美国的美洲地区、亚洲和欧洲）的证券构建的投资组合都没有表明回声存在的证据。美国的回声现象似乎是由前两个月收益率的短期反转效应的持续所导致的🧪。

Is Momentum an Echo?

Amit Goyal (University of Lausanne, Swiss Finance Institute)

Sunil Wahal (Arizona State University, Carey School of Business)

ABSTRACT

In the United States, momentum portfolios formed from 12 to 7 months prior to the current month deliver higher future returns than momentum portfolios formed from 6 to 2 months prior, suggesting an “echo” in returns. In 37 countries excluding the United States, there is no robust evidence of such an echo. In portfolios that combine securities in developed and emerging markets, or across three major geographic regions (Americas excluding United States, Asia, and Europe), there is also no evidence of an echo. Any echo in the United States appears to be driven largely by a carryover of short-term reversals from month ? 2.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/is-momentum-an-echo/5E4B893AFD2F110B7347F8F483D28ED3

翻译：汪国颂