讲座预告 | 李有伟：动量效应

天津大学管理与经济学部

2021-06-17 16:42 浏览量: 2771

动量效应

讲座时间：6月21日（周一）17：00

参与方式：腾讯会议：108230092

主讲人：李有伟

01主讲人介绍

李有伟教授目前就职于赫尔大学商学院会计与金融系，目前担任

02讲座内容

本报告从时间序列和横截面两个维度、从理论和实证两个角度讨论动量效应。本研究对横截面动量异象的大量竞争性解释给出了综合评价和排序，也讨论了“动量崩溃”（动量策略在某一时期会表现出显著的下行风险）。研究发现，动量策略的高度不确定性来源于个股的横截面波动性。在形成期内已实现波动率高的股票往往不具有动量效应，而已实现波动率低的股票则表现出强劲的动量效应。本研究提出了一种新的方法：广义风险调整动量（GRJMOM），以缓解高动量风险的负面影响。在包括英国股票、大宗商品、全球股票指数和固定收益证券在内的多种资产类别中，GRJMOM被证明比现有的动量排序方法盈利更高，风险更低。最后，对因子动量效应进行了检验。基于20个因子的数据集，发现因子动量效应总体较弱。6个因素表现出强劲的收益延续性，并主导了因子动量投资组合，而其余14个因素则没有。因子的选择影响因子动量解释个股动量的能力。本研究对包括中国股票市场和期货市场、美国股票市场和国际大宗商品市场等大量的市场进行了实证分析。

This talk discusses momentum from both a time-series and cross section dimension, and from both a theoretical and empirical perspective. It comprehensively evaluates and ranks a large number of competing explanations for the cross-section momentum anomaly. It also discusses "momentum crashes," momentum strategies exhibit significant downside risks over certain periods. It is found that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individual stocks. Stocks with high realized volatility over the formation period tend to lose momentum effect, while stocks with low realized volatility show strong momentum. A new approach, generalized risk-adjusted momentum (GRJMOM), is introduced to mitigate the negative impact of high momentum risks. GRJMOM is proven to be more profitable and less risky than the existing momentum ranking approaches in multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets. Finally, it examines factor momentum. Based on a dataset covering 20 factors, it is found that the factor momentum effect is weak in general. Six factors exhibit strong return continuation and dominate the factor momentum portfolio, while the remaining 14 factors do not. The choice of factors affects the ability of factor momentum to explain individual stock momentum. The underlying empirical analysis of the talk covers a wide range of markets including Chinese stock markets and futures markets, US stock market and international commodity markets among others.