Is momentum really momentum?

• 成果类型: Article
• 署名作者: Novy-Marx, Robert
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.05.003
• 发表日期: 2012
• 页码: 429-453
• 关键词: momentum; factor models

摘要

Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for momentum strategies trading international equity indices, commodities, and currencies. (C) 2011 Elsevier B.V. All rights reserved.