急求文献Matlab代码：Understanding Momentum and Reversal

【作者(必填)】Bryan T. Kellya,b,1, Tobias J. Moskowitza,b,2, Seth Pruittc,∗

【文题(必填)】Understanding Momentum and Reversal

【年份(必填)】2021

【全文链接或数据库名称(选填)】https://doi.org/10.1016/j.jfineco.2020.06.024
急求！谢谢大家！

Understanding Momentum and Reversal∗
Bryan Kelly
Yale University and
AQR Capital Management
Tobias Moskowitz
Yale University and
AQR Capital Management
Seth Pruitt
Arizona State University
August 16, 2019
Abstract
Stock momentum, long-term reversal, and other price trend characteristics predict
future realized betas. This helps explain why these characteristics predict returns—
because they capture time-varying risk compensation. We formalize this argument
with a conditional factor pricing model. Using instrumented principal components
analysis, we estimate latent factors with time-varying factor loadings that depend on
observable firm characteristics. Momentum and long-term reversal alphas are small
and insignificant once we account for common risk factors in this way.
Keywords: momentum, reversal, factor model, conditional betas, conditional expected returns, IPCA

丘比特之吻 发表于 2024-3-20 16:14
Understanding Momentum and Reversal∗
Bryan Kelly
Yale University and

有这篇文章的开源代码吗，求求