Momentum and autocorrelation in stock returns

• 成果类型: Article
• 署名作者: Lewellen, J
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/15.2.533
• 发表日期: 2002
• 页码: 533
• 关键词: TEMPORARY COMPONENTS; MARKET; overreaction; earnings; reflect; prices

摘要

This article studies momentum in stock returns, focusing on the role of industry, size, and book-to-market (B/M) factors. Size and B/M portfolios exhibit momentum as strong as that in individual stocks and industries. The size and B/M portfolios are well diversified, so momentum cannot be attributed to firm- or industry-specific returns. Further, industry, size, and B/M portfolios are negatively autocorrelated and cross-serially correlated over intermediate horizons. The evidence suggests that stocks covary too strongly with each other. I argue that excess covariance, not underreaction, explains momentum in the portfolios.