Journal of Financial Markets，January 2019 In Press

极端绝对强度的股票和动量策略的表现

作者：Xuebing Yang (Pennsylvania State University at Altoona)

Huilan Zhang (Shippensburg University of Pennsylvania)

摘要：我们发现，从典型的动量组合中去除具有极端绝对强度的股票可以提高其业绩。利用在纽约证券交易所，美国证券交易所和纳斯达克交易的普通股数据，我们发现具有极端绝对强度的股票具有非常高的波动性，并且更有可能失去动量。从典型的动量组合中移除这些股票可以显着降低投资组合的波动性，并在大多数情况下提高平均回报率，从而提高投资组合的表现。在2000年后动量似乎已经消失的时期，移除具有极端绝对强度的股票也能有效地缓解动量崩溃的问题，并使动量策略盈利。

Extreme absolute strength of stocks and performance of momentum strategies

Xuebing Yang (Pennsylvania State University at Altoona)；Huilan Zhang (Shippensburg University of Pennsylvania)

ABSTRACT

We find that removing stocks with extreme absolute strength from typical momentum portfolios can enhance their performance. Using data on common stocks traded on NYSE, AMEX, and NASDAQ, we find that stocks with extreme absolute strength feature very high volatility and are more likely to lose their momentum. Removing these stocks from typical momentum portfolios significantly reduces the volatility of the portfolios and increases the average return in most cases, improving the portfolios' performance. The removal of stocks with extreme absolute strength can also effectively alleviate the problem of momentum crashes and render momentum strategies profitable in the post-2000 era, a period during which momentum appears to have vanished.

原文链接：

https://www.sciencedirect.com/science/article/pii/S1386418118300387#!

翻译：黄涛