Momentum and Autocorrelation in Stock Returns
研究股票收益中的动量效应，发现规模与账面市值比组合的动量与个股和行业一样强，且这些组合存在负自相关和交叉序列相关，表明动量源于股票间的过度协方差而非反应不足。
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.