What Can Explain Momentum? Evidence from Decomposition
研究评估了多种动量异常的解释，发现公司基本面是最有希望的，其次是前景理论和心理账户、锚定效应；所有解释仅捕捉了31%的动量，69%仍未被解释。
This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and anchoring effect. Collectively, all explanations capture 31% of momentum, whereas 69% of momentum remains unexplained. This study thoroughly examines what fractions of the momentum anomaly emerge from the interaction effects between past returns and various firm characteristics. It is further found that strategies based on firm characteristics and residual momentum can significantly alleviate the severity of momentum crashes. Finally, robustness analysis is provided for choosing different formation and holding periods, excluding January observations, and analyze at the level of portfolio rather than individual stock. This paper was accepted by David Simchi-Levi, finance.