重新审视动量崩溃：发达市场与新兴市场的波动率择时

摘要

This paper revisits momentum crash risk in developed and emerging equity markets using monthly Fama-French international factor data through April 2026. We distinguish conditional momentum-return regressions from direct crash-probability models, define the investment rules completely, and impose strictly ex-ante portfolio scaling. Lower-tail momentum events cluster after weak market states, but the evidence is more precise in developed markets and weakens under alternative definitions and after 2010. Volatility management materially improves full-sample downside outcomes: the developed-market Sharpe ratio rises from 0.533 to 0.865 and maximum drawdown improves from −43.61% to −10.74%; the emerging-market Sharpe rises from 0.980 to 1.289. These gains are not uniform over time, particularly in emerging markets after 2010. The results support state-aware momentum risk control while cautioning against interpreting conditional associations as stable forecasting laws.