Who Drives Momentum Returns? The Role Reversal of Trend‐Seeking Households and Contrarian Institutions
利用直接识别投资者的交易数据，发现当家庭放弃反向交易转为趋势追逐时，动量收益每月增加21个基点；当家庭买入赢家、机构卖出输家时，动量收益升至无条件水平之上40个基点。这些角色反转发生在25%的月份中，破坏了家庭流动性提供机制，导致形成期价格发现受损、持有期动量增强。
ABSTRACT Using comprehensive trade data with direct investor identification, we show that momentum returns increase by 21 basis points monthly when households abandon their usual contrarian behaviour to become trend‐seekers. Momentum returns increase to 40 basis points above unconditional levels when households buy winners and institutions sell losers, reversing their typical roles. These role reversals occur in 25% of months, disrupting the standard household liquidity provision mechanism. We argue that the accentuated returns are due to impaired price discovery during the formation period, followed by heightened momentum during the holding period.