Price-Path Convexity and Short-Horizon Return Predictability
研究发现股票价格路径的凸性（即曲率）与未来短期收益呈强烈负相关，且该关系在市场和公司层面均成立，部分由投资者过度外推过去收益驱动。
Abstract We document a strong, negative relation between the curvature of stock price paths (i.e., price-path convexity) and future short-horizon returns at both the aggregate and firm levels. This relation obtains regardless of the cumulative return during the convexity estimation period. At the aggregate level, convexity is a better predictor of future returns than many commonly used predictors. At the firm level, this effect is not explained by known return predictors, microstructure frictions, or illiquidity. Using survey-based expectations of short-horizon returns, we show that the negative relation between convexity and future returns is driven in part by overextrapolation of past returns.