Median momentum
提出用中位数收益率构建动量策略，买入过去3-12个月中位数收益高的股票、卖空低的股票，该策略在所有持有期表现优于传统价格动量策略，且无长期反转，在G7国家均有效，归因于投资者反应不足。
Abstract The median is a better measure of a sample's central tendency in the presence of extreme observations. We propose an alternative momentum strategy formed by buying (shorting) stocks with high (low) average median returns over a formation period of 3–12 months. The median momentum strategy outperforms the traditional price momentum strategy for all holding periods from 1 month to 5 years, with no long‐term reversal. This same return pattern is observed for all G7 countries. Further analysis indicates that median momentum profitability is an underreaction‐only phenomenon and shows behavioral patterns related to short‐sale restrictions and investor sentiment.