دانلود رایگان مقاله انگلیسی نقش سرمایه گذاری شرکت در مقدار حرکت و وارون - الزویر 2018

ABSTRACT

We propose that the time delay inherent in firm investment is what creates the time delay in stock returns observed in the momentum and reversal regularities. We provide intuition for our hypothesis and show empirically that indeed the momentum and reversal effects occur not in isolation, but are concurrent with systematic patterns in firm investment. For example, winners only continue to win when there is also subsequent investment, and losers only continue to lose when there is also subsequent disinvestment. Although our paper is about understanding the nature of the price pattern delay rather than examining a trading strategy, our tests suggest ways to enhance trading returns. Our results provide novel evidence on a potential source of delay in momentum and reversals regularities.

5. Conclusions

In this paper we explore the momentum and reversal effects in the term structure of stock returns with a proposal that the channel for these patterns is the time delay associated with firms realizing real investments. The intuition is that momentum patterns occur because real investment generates positive investment anticipation and investment realization returns. The total investment–return impact is partially realized with anticipation of the investment and the remaining return coming with the realization of the investment. The decoupling of the realization of the wealth impact of investment is inherent in the time delay associated with real investment. This partitioning of investment returns generates conditional return continuation for both investment and disinvestment. A similar story explains return reversals as investment creates reversal effects in returns with the extended partitioning of the realization periods.

Using a large panel of U.S. stock return and investment data, we confirm these predictions. We document that momentum and reversal in returns do not occur in isolation, but are completely dependent on systematic patterns in firm investment such that there is no residual momentum or reversal effect in stock returns independent of that associated with firm investment. Our evidence is robust to a number of known cross-sectional effects in momentum. We document some opportunities for enhanced trading strategies, but note that most of the momentum effect comes from the unanticipated portions of investment. We also find some evidence that momentum returns are associated with aggregate investment in the time-series.