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很不酷 · 2022年01月07日

Momentum为什么是有效市场？

  1. CFA III
  2. Equity

NO.PZ2019012201000046

问题如下：

Laubach states that that the board is interested in following a passive approach for some or all of the equity allocation. In addition, the board is open to approaches that could generate returns in excess of the benchmark for part of the equity allocation. McMahon suggests that the board consider following a passive factor-based momentum strategy for the allocation to international stocks.

Compared with broad-market-cap weighting, the international equity strategy suggested by McMahon is most likely to：

选项：

A.

concentrate risk exposure

B.

be based on the efficient market hypothesis

C.

overweight stocks that recently experienced large price decreases

解释：

Compared with broad-market-cap weighting, passive factor-based strategies tend to concentrate risk exposure, leaving investors vulnerable during periods when the risk factor (e.g., momentum) is out of favor.

Monmentum应该是基于价量的技术指标，而有效市场假说是基于所有信息已经反应在价格上了。从一级开始感觉这两者就是对立的，想不通为什么有效市场还存在momentum.

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1 个答案

伯恩_品职助教 · 2022年01月07日

嗨，爱思考的PZer你好：


同学你好，首先这个题好像没有提到有效市场假说。其次呢就这个momentum来说，这个是试图从上一时期价格涨幅高于平均水平的股票中获得更多回报。即认为过去好的股票以后还是会好，这是一种假说，有的股票能成立，有的不一定，比如苹果是成功的案例，腾讯如果18年因为过去长得好，然后买入就表现的不好。本质上factor是一直可能的假说，不一定成功，有时候可以有时候因子就失效了。

最后呢就是有效市场假说，你说的所有信息已经反映在价格上了是 Strong-Form Market Efficiency，目前世界上还不存在这种的市场。最好也就是美国的股市了 属于Semi-Strong-Form Market Efficiency。所以既然没有强有效市场，那自然就有可能有α

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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