Investor Myopia and the Momentum Premium across International Equity Markets
研究发现，投资者短视（关注短期价格而非长期价值）导致动量效应更强，尤其在委托管理基金比例高的国家，说明代理问题是动量溢价的重要决定因素。
Myopic investors focus on short-run price changes rather than long-term fundamental value, resulting in an overweighting of public information and a slow diffusion of fundamental news. Such processing of information can produce price drifts similar to those seen in behavioral models of momentum. We explore the impact of myopia over an international sample, finding that momentum is stronger in more myopic countries, and this relationship is magnified where the proportion of funds under delegated management is high. We therefore argue that investor myopia, which arises due to agency issues in delegated funds management, is an important determinant of momentum.