金融市场的动量效应：为什么牛顿错了

为什么牛顿错了

Theory says that the past performance of share prices is no guide to the future. Practice says otherwise

有理论讲，人们无法根据一支股票的历史价格预测其未来的走势。实践中却恰恰相反。

WHAT goes up must come down. It is natural to assume that the law of gravity should also apply in financial markets. After all, isn’t the oldest piece of investment advice to buy low and sell high? But in 2010 European investors would have prospered by following a different rule. Anyone who bought the best-performing stocks of the previous year would have enjoyed returns more than 12 percentage points higher than someone who bought 2009’s worst performers.

有升就有降，有高就有低。人们很自然地认为重力法则也适用于股票市场。不管怎么说，最传统的投资建议不就是低买高卖吗？但2010年欧洲赚钱的投资者遵循的却是却另一套法则。在这一年买进2009年表现最优的股票，比买进2009年表现最差的股票要享受高出12%的收益。

This was not unusual. Since the 1980s academic studies have repeatedly shown that, on average, shares that have performed well in the recent past continue to do so for some time. Longer-term studies have confir med that this “momentum” effect has been observable for much of the past century. Nor is the phenomenon confined to the stockmarket. Commodity prices and currencies are remarkably persistent, rising or falling for long periods.

这种情况并不独特。自从20世纪80年代起，学术研究上就不断发现，平均来讲，在过去较近一段时间表现好的股票会在未来某段时间内保持好势头。而更长时间跨度的研究则证实，这样一种动量效应在过去一百年中多数时候都可观察到。而且这种现象并不只局限在股票市场。商品价格和货币价格的走势也具有持续性，无论升势或降势都是长期的。

The momentum effect drives a juggernaut through one of the tenets of finance theory, the efficient-market hypothesis. In its strongest form this states that past price movements should give no useful information about the future. Investors should have no logical reason to have preferred the winners of 2009 to the losers; both should be fairly priced already.

动量效应对金融理论中的有效市场假说是一个很大的冲击。有效市场假说中最典型的理论认为，人们无法根据股票的历史价格预测其未来的走势。因此，投资者没道理看好2009年表现好的股票而轻视这一年表现差的股票；因为所有股票都已经是合理估值的。Markets do throw up occasional anomalies异常,反常,不规则—for instance, the outperformance of shares in January or their poor performance in the summer months—that may be too small or unreliable to exploit. But the momentum effect is huge. Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School (LBS) looked at the largest 100 stocks in the British market since 1900. They calculated the return from buying the 20 best performers over the past 12 months and then holding them, rebalancing the portfolio every month.

但市场偶尔会有不规则现象出现——例如股票在一月份表现极佳，或在夏季的几个月里表现很差。但这样的现象对投资来说不是几率太小就是不稳定，因此难以利用。而动量效应却是巨大的。伦敦商学院三位学者Elroy Dimson, Paul Marsh和Mike Staunton研究

了1900年英国股市中100支最大的股票，如果一个人买入先前12个月中表现最好的20支股票，对其持有并每月做些配置上的调整，经他们计算，由此而得的年收益率比买进之前12个月中表现最差的股票要高出10.3%。

This produced an annual average of 10.3 percentage points more than a strategy of buying the previous 12 months’ worst performers. An investment of £1 in 1900 would hav e grown into £2.3m by the end of 2009; the same sum invested in the losers would have turned into just £49 (see chart 1).

使用这种策略，1900年1英镑的投资到2009年已增长为230万英镑，而买进表现低迷的股票经过这109年所得回报仅为49英镑。

Messrs Dimson, Marsh and Staunton applied a similar approach to 19 markets across the world and found a significant momentum effect in 18 of them, dating back to 1926 in America and 1975 in larger European markets. A study by AQR Capital Management, a hedge fund, found that the American stocks with the best momentum outperformed those with the worst by more than ten percentage points a year between 1927 and 2010 (see chart 2). AQR has set up a series of funds that attempt to exploit the momentum anomaly.

Messrs Dimson, Marsh 和Staunton三位学者用相同的方法研究了自1926年至1975年从美国到欧洲的19个主要股票市场，在18个股市中都发现了显著的动量效应。而由一家对冲基金AQR 资金管理公司所做的调查发现，1927至2010年间，美国动量最好的股票比动量最差的股票每年收益率多出10%。AQR公司已设立了好几项资金以探索动量市场不规则表现。

Too costly, too risky?

成本高风险大吗？

Even the high priests of efficient-market theory have acknowledged the momentum effect. Well-paid fund managers have spent decades trying to find ways to beat the market. But you have to wonder why they bother devoting so much money and effort to researching the fortunes of individual companies when the momentum approach appears to be easy to exploit and has been around for a long time.

即便是有效市场理论的学术领导者，也已经承认了动量效应的存在。几十年来，拿高薪的基金经理人一直试图找到跑赢大盘的方法。你一定很奇怪，既然动量效应看起来这么容易利用，而且长期存在，为什么他们还把那么多金钱和精力花在对个别公司的研究上呢。

Logic suggests that the effect should be arbitraged away. If the best performers of the past 12 months continue to do well, smart investors will buy them after 11 months have elapsed, reducing the returns on offer to those who wait the extra month. In turn, others will buy after ten months, then nine, eight and so on until the effect disappears.

但是按逻辑推理，动量效应会被人们的套购行为消磨掉。如果在过去12个月中业绩最好的股票持续其良好表现，精明的投资者会在第11个月过去时买入这些股票，从而使等待12月方才买进它们的投资者获利率降低。于是，其他人就会在第10个月过去时买入这类股票，一步一步地，会有人在第9个月时买入，第8个月时买入，直到动量效应一开始就被套购行为抵消为止。