| 简介： | The distance between the short- and long-run moving averages of prices is a potent predictor of stock returns in the cross-section and its predictive power goes well beyond momentum and a comprehensive set of other characteristics. The greater the positive (negative) distance between the short-run average and the long-run one, the greater (lower) is the expected return. The corresponding strategy yields reliable profits that do not decay even after several months and that survive modern factor models and reasonable transaction costs. The distance also reliably predicts returns at the market and industry levels, as well as in international settings. We propose and provide supporting evidence for the notion that large deviations of prices from their long-run moving averages represent surprises relative to prevailing anchors to which investors react insufficiently. |