Explaining Momentum and Value Simultaneously
在新古典投资模型中提出统一的风险解释，说明赢家与输家、价值与成长型公司因生产率与经营杠杆差异导致的风险暴露不同，从而同时产生动量利润与价值溢价。
This paper proposes a unified risk-based explanation for momentum profits and the value premium in a neoclassical investment-based model. Winner firms have higher short-term productivity and hence more negative exposures to the price of investment goods than loser firms as a result of greater investment plans. Value firms have lower long-term productivity and higher operating leverage and hence higher sensitivities to neutral productivity shocks than growth firms. The model reproduces the coexistence of momentum profits and the value premium, the failure of the unconditional capital asset pricing model, the predictability of momentum profits by market states, and the long-term reversal of momentum profits. Empirical tests confirm a negative price of risk for the shock to the relative price of investment goods. This paper was accepted by Neng Wang, finance.