Uncertainty, Momentum, and Profitability
研究发现动量与盈利能力因子共同源于不确定性，不确定性解释了价格动量、经营盈利能力以及大部分盈利动量与净资产收益率的利润，且这些策略的利润集中在市场下跌期，对投资组合经理有重要启示。
In this article, the authors argue that momentum and profitability factors share a common source in uncertainty. Specifically, the authors find that uncertainty subsumes price momentum and operating profitability; it also accounts for the majority of the profits associated with earnings momentum and return on equity, especially in large firms. Furthermore, the profits of the four aforementioned momentum/profitability strategies concentrate in periods of negative market returns, consistent with high-uncertainty stocks’ greater vulnerability to bad market states documented in recent literature. The market-state dependence of momentum/profitability strategies has significant implications for portfolio managers who attempt to profit from these strategies. Understanding the sources of the profits also helps portfolio managers better employ these factors in constructing investment portfolios. <b>TOPICS:</b>Analysis of individual factors/risk premia, performance measurement, portfolio construction