Short-Term Reversals and Longer-Term Momentum around the World: Theory and Evidence
研究股票收益在短期呈现反转、长期呈现动量的过渡模式，构建包含噪音交易者和反应不足投资者的多期模型，并用美国及国际数据验证了关于反转与动量关系的新预测。
Abstract Stock returns exhibit reversals at short horizons but slowly transition to momentum over longer horizons. To help understand this pattern, we develop a multiperiod model with short- and long-horizon noise traders, and active investors who underreact to information they do not themselves produce. The model accords with the transition from reversals to momentum and yields the following novel predictions: (a) attenuated reversals after earnings announcements, (b) a negative relation between monthly reversal and longer-term momentum profits across economies and time, and (c) larger reversals when there is more noise trading. Empirical analysis using U.S. and international data supports these predictions.