Carry Momentum
研究发现，持有期趋势上升的资产（高持有期动量）比低持有期动量的资产有更高回报，且该效应无法被传统市场风险或时间序列动量、持有期等因素解释。
Assets whose carry is trending up, namely, assets with high carry momentum, tend to have higher returns than those with low carry momentum. Using data from different asset classes, we show that portfolios with high-carry-momentum assets delivered higher returns than portfolios with low-carry-momentum assets. The return differentials cannot be explained by exposure to traditional market risks or by such seemingly related factors as time-series momentum and carry. The results can be motivated by a model in which investors’ demand for an asset depends on the market’s view on the expected returns. An increase in carry raises investors’ belief in the attractiveness of an asset, leading to the possibility for higher demand in the market and in turn to the potential for higher prices and positive returns.