Buy-Side Competition and Momentum Profits
研究发现，买方竞争程度能解释动量利润：竞争低时动量策略月收益差达1.11%，竞争高时收益差可忽略；低竞争市场中信息缓慢扩散导致动量效应和反转。
Abstract We show that a new measure of buy-side competition explains momentum profits. The momentum quintile spread is 1.11% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Tests based on long-term reversals, the trading patterns of funds, their style peers, distant funds, and retail investors suggest that slow information diffusion explains the large momentum spreads and momentum reversals in low competition markets.