Short-Term Moving Average Distance and the Cross-Section of Stock Returns
基于近因偏差和信念调整模型，提出用月末股价与过去10天移动平均的距离（SMAD）预测股票收益，发现投资者对极端短期价格过度反应导致负向预测能力，并验证了显著性理论的解释作用。
Motivated by the recency bias and the belief-adjustment model, we propose a new predictor of stock returns based on the distance between the end-of-month price and past-10-day moving average, which we term short-term moving-average distance (SMAD). We propose that investors tend to overreact to the information embedded in SMAD when extreme short-term prices are more salient, leading to a negative return predictability. Our empirical results confirm this prediction. We further confirm the validity of the salience theory in explaining the SMAD premium. Finally, we show that SMAD is effective in predicting the return premia of the mispricing anomalies.