Short-term Momentum
研究发现，美国及国际股市中，低换手率股票存在短期反转，而高换手率股票则表现出短期动量，其盈利性和持续性堪比传统价格动量，且在高流动性股票中最为显著。
Abstract We document a striking pattern in U.S. and international stock returns: double sorting on the previous month’s return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information conveyed by prices.