发表期刊：Finance Research Letters
发表时间：July 2024
作者及单位：Ming Gu（School of Economics and WISE, Xiamen University）, Minxing Sun*, Zhitao Xiong, Weike Xu
摘要：This paper investigates how stock market volatility predicts trend factor profits. We find that the trend factor performs significantly better following high market volatility periods. From 1931 to 2022, the average monthly risk adjusted return following high volatility periods is 2.47 %, significantly higher than that following low volatility periods. We hypothesize that fundamental signals are more likely to be imprecise when the stock market is more volatile, leading investors to rely more heavily on trend signals. Consequently, the trend factor could deliver higher profits. Collectively, our paper suggests that market volatility is an important time-series determinant of trend factor performance.
关键词：Market volatility；Trend factor；Time-series variation；Information uncertainty
