A neoclassical interpretation of momentum

• 成果类型: Article
• 署名作者: Liu, Laura Xiaolei; Zhang, Lu
• 署名单位: Hong Kong University of Science & Technology; Peking University; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.07.003
• 发表日期: 2014
• 页码: 109-128
• 关键词: Investment-based asset pricing; Price momentum; Earnings momentum; structural estimation; Neoclassical economics

摘要

The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, long-run risks in momentum, and the interaction of momentum with several firm characteristics. However, the model fails to reproduce the procyclicality of momentum as well as its negative interaction with book-to-market equity. Published by Elsevier B.V.