The ordering of historical returns and the cross-section of subsequent returns
研究发现，股票历史收益的时间顺序能预测未来收益：近期收益高而远期收益低的股票后续表现较差，反之亦然。该预测在控制多种因子后依然显著，且部分可由错误定价解释。
We show that the ordering of historical stock returns significantly predicts the cross-section of subsequent returns. More specifically, stocks with comparably high recent and low distant returns experience low subsequent returns and vice versa. Our new measure of chronological return ordering yields significant decile return spreads after accounting for a wide range of asset pricing factors. This finding holds for both a monthly and an annual formation period and is valid beyond micro-structure, reversal, and momentum effects. Further analyses on limits to arbitrage, investor attention, and informed option trading support a mispricing-based explanation for parts of the documented return predictability.