金融市场的动量效应：为什么牛顿错了.docxVIP

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 confirmed 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 exploi