Momentum Effect as Part of a Market Equilibrium
研究了动量效应是否源于市场均衡中的资产定价，发现投资者对消费风险的厌恶部分解释了动量效应，量化模型产生的动量利润接近实际观测值。
Abstract Does the momentum effect arise naturally from the determination of asset prices in market equilibrium? We calibrate a standard endowment model of multiple assets under recursive preferences. The momentum effect partly comes from investors’ aversion to consumption risks. An unexpected dividend increase generates a positive return and increases the asset’s proportion of consumption, raising the correlation between its future dividend growth and consumption growth. This is compensated by a higher expected return, generating the momentum effect. The cross-sectional difference in expected returns is also a key contributor. The quantified model produces sizable momentum profits, often close to the observed profits.