Jegadeesh和Titm an(1993)发现惯性策略(mom entum strategy)即买入近期股价上涨的股票,卖出近期股价下跌的股票,这种利用历史信息的投资策略可以获得显著的超常收益。本文首先刻画了惯性策略的发展演变过程,然后评述了行为金融和有效市场学派在学术论战中所提出的立场观点、理论模型和实证证据,最后笔者回顾了国内在这一研究领域的最新进展。Jegadeesh and Titman(1993)documents that the momentum strategies of buying the stocks that have performed well in the past and selling the stocks that have performed poorly in the past generate significant positive returns.Supporters of both "efficient market hypothesis" and "behavioural finance" have developed a controversy on how to explain this phenomenon.This paper outlines the researches on momentum strategies,and then reviews the standpoints,theoretical models and empirical studies which have been proposed by "efficient market hypothesis"and "behavioural finance".Finally,we review the condition of the researche on momentum strategies in China
