金融建模动量因子.docx

您对动量因子的理解是什么呢？请大家积极回帖，一起来探讨！自从Jegadeesh和Titman首先在1993年Journal of Finance上发表了动量因子（Momentum Factor）的研究成果之后(Jegadeeshand Titman,?Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, 1993，简而言之，动量因子就是采取逢高买进，逢低卖出的策略所取得的回报)，由于它显著的超额回报率(market excess return)，数十年来一直是学术界经久不衰的研究课题之一，研究范围包括各个资本市场，各种资产类型，各种时间跨度。例如：关于SP的:?Style Momentum Within the SP 500 Index?(Chen and De Bondt, 2004)和?Cross-Asset Style Momentum?(Kim,2010)美国行业/板块:?Do Industries Explain Momentum??(Moskowitz and Grinblatt, 1999),Understanding the Nature of the Risks and Sources of Rewards to Momentum Investing?(Grundy andMartin, 1998)美国小盘股:?Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies?(Hong et al, 1999)欧洲股票市场:?International Momentum Strategies,(Rouwenhorst, 1997)英国股票市场:?The Profitability of Momentum Investing, (Lui et al, 1999),Momentum in the UK Stock Market?(Hon and Tonks,2001)中国股票市场:?Contrarian and Momentum Strategiesin the China Stock Market: 1993-2000?(Kang et al, 2002),?The “Value” Effect and the Market for Chinese Stocks?(Malkiel and Jun, 2009),?Momentum and Seasonality in Chinese Stock Markets?(Li, Qiu, and Wu, 2010)?和?Momentum Phenomenon in the Chinese Class A and B Share Markets?(Choudhry and Wu, 2009)日本股票市场:?Eureka! A Momentum Strategy that Also Works in Japan?(Chaves , 2012)澳洲股票市场:?Do Momentum Strategies Work?: Australia Evidence, (Drew, Veeraraghavan, and Ye, 2004)瑞士股票市场:?Momentum and Industry Dependence?(Herberger, Kohlert, and Oehler, 2009)新兴股票市场:?Local Return Factors and Turnover in Emerging Stock Markets, (Rouwenhorst, 1999)前沿新兴股票市场:?The Cross-Section of Stock Returns in Frontier Emerging Markets?(Groot, Pang, and Swinkels, 2012)全球股票市场:?Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, (Griffin et al, 2002),?International Momentum Strategies?(Rouwenhoust, 1998),?The Case for Momentum?(Berger, Isael, Moskowitz, 2009)外汇市场:?Do Momentum Based Strategies Still Work In Foreign Currency Markets??(Oku