The disappearance of momentum
研究了美国动量溢价的时间变化，发现自1990年代末以来动量效应已消失，而1990年代末的高科技和电信股票泡沫曾延缓这一过程。
We investigate the dynamics of the momentum premium in the USA. The momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and it has disappeared since the late 1990s. Our results further suggest that momentum profits have slowly disappeared since the early 1990s, in a process which was delayed by the occurrence of the high-tech and telecom stock bubble of the late 1990s. In particular, we estimate that the bubble accounted for at least 50% of momentum profits during the period from 1994 to 2000.