Momentum, Business Cycle, and Time‐varying Expected Returns
发现动量策略的利润可由滞后宏观经济变量解释，调整这些变量对股票收益的预测性后，动量收益消失，为动量收益提供了时变预期收益的解释。
ABSTRACT A growing number of researchers argue that time‐series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation of short‐term returns or momentum is one such pattern that has defied any rational explanation and is at odds with market efficiency. This paper shows that profits to momentum strategies can be explained by a set of lagged macroeconomic variables and payoffs to momentum strategies disappear once stock returns are adjusted for their predictability based on these macroeconomic variables. Our results provide a possible role for time‐varying expected returns as an explanation for momentum payoffs.