Is Momentum an Echo?
研究美国市场动量投资组合的收益是否存在“回声”现象，即12至7个月前形成的组合收益高于6至2个月前的组合，并检验该现象在其他37个国家及全球区域是否稳健。
Abstract In the United States, momentum portfolios formed from 12 to 7 months prior to the current month deliver higher future returns than momentum portfolios formed from 6 to 2 months prior, suggesting an “echo” in returns. In 37 countries excluding the United States, there is no robust evidence of such an echo. In portfolios that combine securities in developed and emerging markets, or across three major geographic regions (Americas excluding United States, Asia, and Europe), there is also no evidence of an echo. Any echo in the United States appears to be driven largely by a carryover of short-term reversals from month − 2.