A trend factor: Any economic gains from using information over investment horizons?

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• 作者：Yufeng Han¹ ; ^a ; ^{yhan15@uncc.edu" class="auth_mail" title="E-mail the corresponding author} ; Guofu Zhou ; ^b ; ^c ; ^d ; ^{zhou@wustl.edu" class="auth_mail" title="E-mail the corresponding author} ; Yingzi Zhu² ; ^e ; ^{zhuyz@sem.tsinghua.edu.cn" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Trends ; Moving averages ; Asymmetric information ; Predictability ; Momentum ; Factor models
• 刊名：Journal of Financial Economics
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：122
• 期：2
• 页码：352-375
• 全文大小：829 K

文摘

In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It outperforms substantially the well-known short-term reversal, momentum, and long-term reversal factors, which are based on the three price trends separately, by more than doubling their Sharpe ratios. During the recent financial crisis, the trend factor earns 0.75% per month, while the market loses −2.03%$-2.03\%$ per month, the short-term reversal factor loses −0.82%,$-0.82\%,$ the momentum factor loses −3.88%,$-3.88\%,$ and the long-term reversal factor barely gains 0.03%. The performance of the trend factor is robust to alternative formations and to a variety of control variables. From an asset pricing perspective, it also performs well in explaining cross-section stock returns.