A trend factor: Any economic gains from using information over investment horizons?

• 成果类型: Article
• 署名作者: Han, Yufeng; Zhou, Guofu; Zhu, Yingzi
• 署名单位: University of North Carolina; University of North Carolina Charlotte; Washington University (WUSTL); Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.029
• 发表日期: 2016
• 页码: 352-375
• 关键词: trends; Moving averages; asymmetric information; predictability; momentum; factor models

摘要

In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It outperforms substantially the well-known short-term reversal, momentum, and long-term reversal factors, which are based on the three price trends separately, by more than doubling their Sharpe ratios. During the recent financial crisis, the trend factor earns 0.75% per month, while the market loses -2.03% per month, the shortterm reversal factor loses -0.82%, the momentum factor loses -3.88%, and the long-term reversal factor barely gains 0.03%. The performance of the trend factor is robust to alternative formations and to a variety of control variables. From an asset pricing perspective, it also performs well in explaining cross-section stock returns. (C) 2016 Elsevier B.V. All rights reserved.