Momentum and Reversal: Does What Goes Up Always Come Down?
研究发现，动量组合中贡献利润的股票后续不会显著反转，而未贡献利润的股票则会出现反转，通过规模和账面市值比可区分两者，且结果不受行为偏差、市场非流动性或宏观因素影响。
The stocks in a momentum portfolio, which contribute to momentum profits, do not experience significant subsequent reversals. Conversely, stocks that do not contribute to momentum profits over the intermediate horizon exhibit subsequent reversals. Merging these separate securities into a single portfolio causes momentum and reversal patterns to appear linked. Stocks with momentum can be separated from those that exhibit reversal by sorting on size and book-to-market equity ratio. Controlling for proxies for behavioral biases, market illiquidity, and macroeconomic factors does not affect our results.