Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
检验宏观经济风险能否解释国际动量利润，发现无论在经济好坏时期，动量利润都显著且无法被风险变量解释，且长期会反转。
Abstract We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these momentum profits reverse over 1‐ to 5‐year horizons, an action inconsistent with existing risk‐based explanations of momentum.