Free Cash Flows and Price Momentum
研究发现自由现金流和价格动量都能独立预测股票未来收益，结合两者构建的交易策略（买入高自由现金流的赢家、卖空低自由现金流的输家）显著优于传统动量策略，且不受投资者情绪、时间变化或交易成本影响。
This study investigates the role of free cash flows and (cross-sectional and time-series) price momentum in predicting future stock returns. Past returns and free cash flows each positively predict future stock returns after controlling for the other, suggesting that cash flows and momentum both contain valuable and distinctive information about future stock returns. A strategy of buying past winners with high free cash flows and shorting past losers with low free cash flows significantly outperforms the traditional momentum trading strategy. The enhanced performance is not sensitive to investor sentiment, time variations, or transaction costs. Further analysis shows that the incremental cash flow effects are largely attributable to net distributions to equity/debt holders. Overall, our findings shed light on the role of corporate fundamentals in technical trading strategies.