作者wwqqer，2014年4月首發于經管之家。未經允許，不得轉載！
關于S&P的:Style Momentum Within the S&P 500 Index(Chen and De Bondt, 2004)和Cross-Asset Style Momentum(Kim,2010)
美國行業/板塊:Do Industries Explain Momentum?(Moskowitz and Grinblatt, 1999),Understanding the Nature of the Risks and Sources of Rewards to Momentum Investing(Grundy andMartin, 1998)
美國小盤股:Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies(Hong et al, 1999)
歐洲股票市場:International Momentum Strategies,(Rouwenhorst, 1997)
英國股票市場:The Profitability of Momentum Investing, (Lui et al, 1999),Momentum in the UK Stock Market(Hon and Tonks,2001)
中國股票市場: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)
日本股票市場:Eureka! A Momentum Strategy that Also Works in Japan(Chaves , 2012)
澳洲股票市場:Do Momentum Strategies Work?: Australia Evidence, (Drew, Veeraraghavan, and Ye, 2004)
瑞士股票市場:Momentum and Industry Dependence(Herberger, Kohlert, and Oehler, 2009)
新興股票市場:Local Return Factors and Turnover in Emerging Stock Markets, (Rouwenhorst, 1999)
前沿新興股票市場:The Cross-Section of Stock Returns in Frontier Emerging Markets(Groot, Pang, and Swinkels, 2012)
全球股票市場: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)
外匯市場:Do Momentum Based Strategies Still Work In Foreign Currency Markets?(Okunev and White, 2003),Interaction between Technical Currency Trading and Exchange Rate Fluctuations(Schulmeister, 2006),Momentum in Stock Market Returns: Implications for Risk Premia on Foreign Currencies(Nitschka, 2010),和Currency Momentum Strategies(Menkhoff et al, 2011)
大宗商品市場:Momentum Strategies in Commodity Futures Markets(Miffre and Rallis, 2007),The Strategic and Tactical Value of Commodity Futures(Erb and Harvey, 2006)
技術分析:52-Week High and Momentum Investing(Georgeand Hwang, 2004).
公司盈利:Momentum Strategies(Chan et al, 2006),Firm-specific Attributes and the Cross-section of Momentum(Sagi and Seasholes, 2007)
在時間維度上:Market States and Momentum(Cooper, Gutierrezand Hameed, 2003),Time-Varying Momentum Profitability(Wang and Xu, 2010),Time Series Momentum(Moskowitz et al, 2011),212 Years of Price Momentum(Gezcy, 2013),A Century of Evidence on Trend Following(Hurst, Ooi, Pedersen, 2012),Two Centuries of Trend Following(Lempérière, 2014).
還有各種從價格動量(price momentum)衍生出的變體，例如：
“新鮮”動量：Fresh Momentum(Chen, Kadan and Kose, 2009)
“殘余”動量：Residual Momentum(Blitz, Huij and Martens, 2011)
CAPM/Fama-French“殘余”動量：Some Tricks to Momentum(SocGen, 2012)
“雙重”動量：Risk Premia Harvesting Through Dual Momentum(Antonacci,2013)
“共同”動量:Comomentum: Inferring Arbitrage Activity from Return Correlations(Lou and Polk, 2012)
趨勢因子:Trend Factor: A New Determinant of Cross-Section Stock Returns(Han and Zhou, 2013)
在跨多種資產的研究中，人們通常把動量因子（Momentum Factor）和價值因子（Value Factor）放在一起研究，例如:Global Tactical Cross-AssetAllocation: Applying Value and Momentum Across Asset Classes(Blitz and VanVliet, 2007),Value and Momentum Everywhere(Asness, Moskowitz, and Pedersen,2009),Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation(Wang and Kohard, 2012), 和Size, Value, and Momentum in International Stock Returns(Fama and French, 2011)
也有和反轉（Reversal/Mean Reversion）一起研究，例如：Momentum– Reversal Strategy(Yu and Chen, 2011),An Institutional Theory of Momentumand Reversal(Vayanos and Woolley, 2010),Momentum and Mean Reversion across National Equity Markets(Balvers and Wu, 2006),Macromomentum: Returns Predictability in International Equity Indices(Bhojraj, 2001)
至于動量因子產生的原因至今沒有定論，投資者的行為偏差（behavior bias）算是其中一個，主要體現在投資者對于自己掌握的信息過于自信，從而導致資產價格對于新信息反應不足（underreaction）:Investor Psychology and Security Market Under-and Over-Reactions(Daniel, Hirshleifer, Subrahmanyam, 1998),Overconfidence, Arbitrage, and Equilibrium Asset Pricing(Daniel, Hirshleifer, Subrahmanyam,2001)
其他類似的解釋例如：
When are Contrarian Profits Due to Stock Market Overreaction?(Lo and Mackinlay, 1990),A Model of Investor Sentiment(Barberis,Shleifer, Vishny, 1997),A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets(Hong and Stein, 1997),Price Momentum andTrading Volume(Lee and Swaminathan, 1998),Underreactions and Overreactions:The Influence of Information Reliability and Portfolio Formation Rules(Bloomfieldet al, 1998),Rational Momentum Effects(Johnson, 2002)
除此之外，還有從其他不同角度進行解釋的，例如:
交易成本(Trading Cost):The Illusory Nature of Momentum Profits(Lesmond, Schill, and Zhou,2004),Trading Cost of Asset Pricing Anomalies(Frazzini, Israel and Moskowitz, 2012)
橫截面預期收益(Cross-sectional Expected Returns):Momentum is Not an Anomaly(Dittmar et al, 2007)
知情交易(Informed Trading):Momentum and Informed Trading(Hameed et al, 2008)
市場情緒(Sentiment):Sentiment and Momentum(Doukas et al, 2010)
經濟周期(Business Cycle):Momentum, Business Cycle, and Expected Returns(Chordia and Shivakumar,2002)
文化差異(Cultural Difference):Individualism and Momentum around the World(Chui, Titman and Wei,2009)
過度協方差(Excess Covariance):Momentum and Autocorrelationin Stock Returns(Lewellen, 2002)
避稅(Tax Loss Harvesting):PredictingStock Price Movements from Past Returns: The Role of Consistency and Tax-LossSelling(Grinblatt and Moskowitz, 2004)
宏觀風險溢價 (Macroeconomic Risk Premium):Momentum Profits, Factor Pricing and Macroeconomic Risk Factor(Zhang, 2008)
前景理論(Prospect Theory ):Prospect Theory, Mental Accounting, and Momentum(Grinblatt and Han,2004)
處置效應(Disposition Effect):The Disposition Effect and Underreaction to News(Frazzini, 2006)，其中前景理論與處置效應均指投資者在處理股票時，傾向賣出賺錢的股票、繼續持有賠錢的股票。
回報預期 (Return Expectation):Momentum Trading and Performance with Wrong Return Expectations(Gatev and Ross, 2009)
推定預期 (Extrapolative Expectation):Expectations of Returns and Expected Returns(Greenwood and Shleifer, 2012)，Extrapolative Expectations and the Equity Premium(Choi and Mertens, 2013)，X-CAPM: An Extrapolative Capital Asset Pricing Model(Barberis, Greenwood, Jin, Shleifer, 2013)，推定預期是行為金融學中專門為解釋動量因子而提出的假設，即指人們往往根據最近的變化來預測未來的變化，并不斷改變對未來的預期。
另外，動量因子也可以用Fama-French三因子模型來解釋:Explaining Momentum within an Existing Risk Factor(Liu, 2012), 或者用風險溢價來解釋:Asymmetric Risks of Momentum Strategies(Dobrynskaya, 2014),或者用動態beta來解釋:Dynamic Beta, Time-Varying Risk Premium, and Momentum(Zhang, 2003)
雖然動量策略能夠帶來市場超額回報（market excess return），但要承擔風險，有時候這個風險是巨大的。這就是所謂的“動量崩盤”（Momentum Crash）:Momentum Crashes(Daniel and Moskowitz, 2011),Tail Risk in Momentum Strategy Returns(Daniel,Jagannathan and Kim, 2012)。如下兩圖所示，動量因子在市場觸底反彈時的收益率最低。
學者們對此有不同的解釋，有的認為是擁擠交易(Crowded Trades)造成的：Crowded Trades, Short Covering, and Momentum Crashes(Yan, 2014),而有的認為是由動量因子本身的性質決定的：Momentum Has Its Moments(Barroso_Clara,2013)
總而言之，動量因子與價值因子是各種資本市場中普遍存在的現象，而且跑贏大盤的時機各有不同。一些我們通常對動量因子的認知都是錯誤的(Fact, Fiction and Momentum Investing,Asness and Frazzini, 2014)。在投資組合中利用這兩者的負相關性，便可獲得較高的風險調整后收益(risk-adjusted return)和Sharpe 比率。
作為投資異象(Anomaly)中的成員，動量因子與價值因子的存在（尤其是前者）是對有效市場假設(Efficient Market Hypothesis)的一個巨大挑戰。（Dissecting Anomalies, Fama and French, 2007; On Persistence of Mutual Fund Performance, Carhart, 1997）盡管有效市場假設支持者認為這些異象可以用風險溢價(risk premium)來解釋，但是資本市場歸根到底是“人”的市場，人的本性在市場交易里暴露無遺，所以投資者的行為偏差（behavior bias）是一個大家比較能接受的解釋。
世界知名對沖基金AQR的基金經理Clifford Asness和John Liew（都是Gene Fama的學生）用他們連續數十年穩定優異的基金收益表現告訴我們：有效市場與投資異象共存于這個復雜的真實世界中。有時候，投資者的非理性行為使得資產價格超過了合理模型所能解釋的范圍，從而打破了有效市場假設。但并不是所有的投資異象都能始終盈利（例如動量崩盤），從而又佐證了有效市場假設。事實上，市場有效是常態，只有少數時候才會出現極端情況。長期來看，要想通過主動管理（active management）取得穩定優異的回報是很困難的，投資過程會受到各種情況影響，稍有不慎，所有可盈利的機會都將付之東流。
