Market States and Momentum
检验了短期动量与长期反转的过度反应理论，发现动量利润取决于市场状态：正市场收益后月均动量利润为0.93%，负市场收益后为-0.37%，且上涨市场中的动量在长期会反转。
ABSTRACT We test overreaction theories of short‐run momentum and long‐run reversal in the cross section of stock returns. Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly momentum profit following positive market returns is 0.93%, whereas the mean profit following negative market returns is −0.37%. The up‐market momentum reverses in the long‐run. Our results are robust to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable to explain momentum profits after simple methodological adjustments to take account of microstructure concerns.