All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns
通过灵活加权过去收益，构建了优于传统股票动量的动量策略，该策略在危机中表现良好且近几十年持续有效，发现对盈利公告、市场跳跃和大额个股收益的反应最能预测未来收益。
By flexibly weighting the information contained in past realized returns, we construct a momentum strategy that outperforms and subsumes the performance of traditional stock momentum. The strategy performs well in crises and continues to work in the most recent decades. We show that the way past returns are weighted is in line with the strategy exploiting an underreaction to the information contained in realized returns, but also investigate alternative behavioral and risk-based explanations. We find that the response to earnings announcements, market-wide jumps and large individual returns realized in the formation period are most informative about future stock returns.