Short-Term Reversals and Longer-Term Momentum around the World: Theory and Evidence

• 成果类型: Article
• 署名作者: Jegadeesh, Narasimhan; Luo, Jiang; Subrahmanyam, Avanidhar; Titman, Sheridan
• 署名单位: Emory University; Nanyang Technological University; University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf057
• 发表日期: 2025-12
• 页码: 3673-3728
• 关键词: G12; G14; G41; cross-section; earnings quality; MARKET; return; liquidity; price; INFORMATION; investors; volume; RISK

摘要

Stock returns exhibit reversals at short horizons but slowly transition to momentum over longer horizons. To help understand this pattern, we develop a multiperiod model with short- and long-horizon noise traders, and active investors who underreact to information they do not themselves produce. The model accords with the transition from reversals to momentum and yields the following novel predictions: (a) attenuated reversals after earnings announcements, (b) a negative relation between monthly reversal and longer-term momentum profits across economies and time, and (c) larger reversals when there is more noise trading. Empirical analysis using U.S. and international data supports these predictions.