Persistency of the momentum effect
研究发现动量效应并非普遍持续，超过40%的赢家和输家在形成期后一个月即反转，导致策略月损失超17%；而持续赢家和输家则表现出更强的动量持续性，且与信息不对称和投资者信念异质性相关。
Abstract The intermediate‐term momentum persistency is not universal among all stocks. More than 40% of winners and losers immediately fall out of their respective groups in the month following formation, resulting in a monthly loss of more than 17% for a momentum strategy constructed on such stocks. By contrast, persistent winners and losers, defined as those staying in their groups for at least one more month, exhibit much stronger momentum persistency. Further analysis indicates that, consistent with the delayed reaction hypothesis for price momentum, the persistency is stronger for stocks with greater information asymmetry and more extensively heterogeneous investor beliefs.