动能 (金融)

动能（英语：momentum）是金融领域的术语，即观察上涨或下跌的资产价格或投资报酬有继续上涨或下跌的趋势。研究显示过去表现强劲的股票，在下一个期间通常继续优于过去表现较差的股票，提供平均每月约1%的超额回报。^[1]^[2]金融分析师会在其买卖建议中使用动能讯号（例如52周高点）作为参考。^[3]

动能的存在是金融理论难以解释的市场异常现象，其困难在于理论上资产价格上涨本身并不应该引起进一步的上涨。根据效率市场假说，仅有在供需变动或有新资讯出现时（参见基本分析）才能保证这样的上涨。大多数金融经济学学者将动能的出现归因于认知偏误，认为其属于行为经济学的范畴，原因是行为经济学认为投资者是不理性的^[4]^[5]，他们对新资讯的反应不足，未能将新闻即时的考量进交易价格中。然而，有其他研究主张，如同价格泡沫的发生，即使在交易者完全理性的情况下，也可以观察到动能。^[6]

参见[编辑]

Carhart四因子模型
动能投资
技术分析

外部链接[编辑]

动能投资和交易信号权威指南（页面存档备份，存于互联网档案馆）（英语）

参考资料[编辑]

^ Jegadeesh, N; Titman S. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. NBER Working Paper. 1999, (7159).
^ Jegadeesh, N; Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance. 1993, 48 (48): 65–91. S2CID 13713547. doi:10.1111/j.1540-6261.1993.tb04702.x.
^ Low, R.K.Y.; Tan, E. The Role of Analysts' Forecasts in the Momentum Effect (PDF). International Review of Financial Analysis. 2016, 48: 67–84. doi:10.1016/j.irfa.2016.09.007.
^ Daniel, K; Hirschleifer D; Subrahmanyam A. A Theory of Overconfidence, Self-Attribution, and Security Market Under and Over-reactions. Journal of Finance. 1998, (53). S2CID 155014440. doi:10.2139/ssrn.2017. hdl:2027.42/35542 .
^ Barberis, N; Shleifer A; Vishny R. A Model of Investor Sentiment. Journal of Financial Economics. 1998, 49 (49): 307–343. S2CID 17623242. doi:10.1016/S0304-405X(98)00027-0.
^ Crombez, J. Momentum, Rational Agents and Efficient Markets. The Journal of Psychology and Financial Markets. 2001, 2 (2): 190–200. S2CID 155049349. doi:10.1207/S15327760JPFM0204_3.

[1] Jegadeesh, N; Titman S. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. NBER Working Paper. 1999, (7159).

[2] Jegadeesh, N; Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance. 1993, 48 (48): 65–91. S2CID 13713547. doi:10.1111/j.1540-6261.1993.tb04702.x.

[3] Low, R.K.Y.; Tan, E. The Role of Analysts' Forecasts in the Momentum Effect (PDF). International Review of Financial Analysis. 2016, 48: 67–84. doi:10.1016/j.irfa.2016.09.007.

[4] Daniel, K; Hirschleifer D; Subrahmanyam A. A Theory of Overconfidence, Self-Attribution, and Security Market Under and Over-reactions. Journal of Finance. 1998, (53). S2CID 155014440. doi:10.2139/ssrn.2017. hdl:2027.42/35542 .

[5] Barberis, N; Shleifer A; Vishny R. A Model of Investor Sentiment. Journal of Financial Economics. 1998, 49 (49): 307–343. S2CID 17623242. doi:10.1016/S0304-405X(98)00027-0.

[6] Crombez, J. Momentum, Rational Agents and Efficient Markets. The Journal of Psychology and Financial Markets. 2001, 2 (2): 190–200. S2CID 155049349. doi:10.1207/S15327760JPFM0204_3.

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