A Trade-Based Analysis of Momentum
利用1983-2002年NYSE/AMEX股票的交易数据，分析不同规模投资者在动量组合中的交易行为，发现小规模交易者反应迟缓，其交易失衡显著影响动量收益，而大规模交易者则无此现象。
This article uses transactions data for all NYSE/AMEX stocks in the period 1983--2002 to study how investors trade in Jegadeesh and Titman's (1993) momentum portfolios. Among small trades, there is an extremely sluggish reaction to the past returns. For instance, an initial small-trade buying pressure exists for loser stocks, and it gradually converts into an intense selling pressure over the following year. The results are consistent with initial underreaction followed by delayed reaction among small traders. Moreover, small-trade imbalances during the formation period significantly affect momentum returns, suggesting that underreaction among small traders contributes to the momentum effect. Large traders, by contrast, show no evidence of underreaction, and large-trade imbalances have little impact on subsequent returns. Overall, the results suggest that momentum could partly be driven by the behavior of small traders. Copyright 2006, Oxford University Press.