Risk Adjustment and Trading Strategies
用随机贴现因子方法评估动量策略的盈利性，发现无条件测试中约一半利润可被风险解释，条件测试中利润进一步下降，并指出CAPM类基准可能导致错误推断。
We assess the profitability of momentum strategies using a stochastic discount factor approach. In unconditional tests, approximately half of the strategies' profitability is explained. In conditional tests we see a further slight decline in profits. We argue that the risk of these strategies should be increasing in the market risk premium. Empirically, while their risk measures estimated relative to the stochastic discount factor behave as predicted, market betas do not; thus capital asset pricing model (CAPM)-like benchmarks may lead to incorrect inferences. Given that our nonparametric risk adjustment explains roughly half of momentum strategy profits, we cannot rule out the possibility of residual mispricing. Copyright 2003, Oxford University Press.