Rational Momentum Effects
用一个简单的单公司模型证明，股票收益的动量效应不一定源于投资者非理性或市场摩擦，而是可以由随时间变化的预期股息增长率在标准定价框架下产生。
ABSTRACT Momentum effects in stock returns need not imply investor irrationality, heterogeneous information, or market frictions. A simple, single‐firm model with a standard pricing kernel can produce such effects when expected dividend growth rates vary over time. An enhanced model, under which persistent growth rate shocks occur episodically, can match many of the features documented by the empirical research. The same basic mechanism could potentially account for underreaction anomalies in general.