殘差動能與投資人情緒

Residual Momentum and Investor Sentiment

Prior research shows that the residual momentum strategy, which hedges out the time-varying exposures to the Fama– French factors, generates significant and consistent momentum profits. We hypothesize that the profitability of the residual momentum, which is induced by investors' underreaction to the firm-specific information, is more pronounced when investor sentiment is high. Supporting this notion, we empirically show that the profits to the residual momentum are higher following periods of high investor sentiment. Further investigation indicates that the profitability of the residual momentum persists up to five years and that the persistence exists only following high-sentiment states. We verify the robustness of our results by considering the effects of market states, business cycles, firm size, and different definitions of sentiment states. Overall, our findings provide supportive evidence for the hypothesis of investor underreaction. 透過規避對Fama–French三因子模型的曝險，殘差動能策略在美國市場具有顯著且持續的獲利能力。我們提出此獲利能力主要起因於投資人對公司獨特資訊的反應不足，因此與投資人情緒存在強烈的關連性。實證結果顯示殘差動能在投資人情緒高漲的期間具有較高之報酬；進一步，殘差動能的報酬持續性亦僅存在於投資人情緒高漲的期間，我們的結果在市場狀態、景氣循環與不同公司規模的穩健性檢測下仍得到支持，整體實證結果符合反應不足假說對殘差動能獲利性之預測。