Two Centuries of Price-Return Momentum
利用1801至1926年的美国证券价格月度数据，检验了价格收益动量策略在1925年后数据集外的表现，发现动量策略的市场风险暴露随市场状态变化，动态对冲策略显著优于未对冲策略。
Having created a monthly dataset of US security prices between 1801 and 1926, we conduct out-of-sample tests of price-return momentum strategies that have been implemented in the post-1925 datasets. The additional time-series data strengthen the evidence that price momentum is dynamically exposed to market risk, conditional on the sign and duration of the trailing market state. On average, in the beginning of positive market states, momentum’s equity beta is opposite to the new market direction, which generates a negative contribution to momentum profits around market turning points. A dynamically hedged momentum strategy significantly outperforms the unhedged strategy.