基金投资行为与投资绩效实证研究

本文主要研究2000年末到2004年6月国内基金投资行为与投资绩效.我们将基金交易行为分为新进入、完全退出和仓位调整三类,并分别研究其投资行为.研究结果显示,我国基金交易频率很高,近90%的基金采用动量投资策略,基金新进入股票时动量效应最强.价值型基金更易采取动量投资策略,高动量组收益高于低动量组收益.     

中国股市行业动量效应研究

动量效应是行为金融研究的一个热点问题,并且对投资者也是一种主动管理的投资方式。本文根据申银万国研究所制定的一级行业分类指数,从行业动量的角度对2001年-2009年的中国股市进行了研究。研究结果表明,中国股市在短中期存在明显的行业动量效应,其中部分投资组合能获得显著的超额收益,具有较强的投资参考意义。并且,本文通过对行业动量实际交易策略进行实证检验,结果表明行业动量效应投资策略可以获得明显的超额收益,即使考虑到交易费用和卖空限制,只买入赢家组合的投资策略依然可以获得较高的超额收益。     

中国股市行业动量效应研究

动量效应是行为金融研究的一个热点问题,并且对投资者也是一种主动管理的投资方式.本文根据申银万国研究所制定的一级行业分类指数,从行业动量的角度对2001年-2009年的中国股市进行了研究.研究结果表明,中国股市在短中期存在明显的行业动量效应,其中部分投资组合能获得显著的超额收益,具有较强的投资参考意义.并且,本文通过对行业动量实际交易策略进行实证检验,结果表明行业动量效应投资策略可以获得明显的超额收益,即使考虑到交易费用和卖空限制,只买入赢家组合的投资策略依然可以获得较高的超额收益.     

中国A股市场动量效应与“动量崩盘”现象研究

动量效应作为一种金融异象,广泛存在于各个市场。然而在丰厚收益的背后却存在着巨大的风险,学术界称之为"动量崩盘"。本文在确定中国A股证券市场动量效应的基础上,进一步研究了动量组合的风险性质。结果表明:A股市场存在周度的动量效应;且该周度效应无法被CAPM和Fama-French三因子模型所解释;A股的周度动量效应没有出现普遍存在于其他动量市场的"动量崩盘"现象,表明在A股市场实施动量策略,不仅收益比美国市场更丰厚,而且风险更小;而动量组合在牛熊市中不对称的收益表现,使得动量收益可以和股票期权一样被市场预计波动率所解释。     

不同市场状态下动量策略盈利性研究

A股股票数据,以周为单位对2014年10月31日到2015年12月31日的数据分牛、熊市进行实证分析,认为中国股市短期存在明显的动量效应、在一个较短的投资期限中采用动量交易策略将获得较高的超额收益率,但在牛市、熊市中持有收益最高的股票组合当市场态势转换时并不能获得显著的超额收益率。动量投资策略的关键在于短线操作,将持有期控制在一个月以内。     

动量交易策略在国内股市的适用性实证分析

基于投资者有限理性和有限的信息加工利用能力的假设,行为金融学提出动量交易策略,文章运用事件分析方法,采用动量交易策略投资于样本股票的收益情况,证明了策略在国内股市的适用性。     

我国股市投资者交易策略中“规模效应”的实证分析

本文利用我国股票市场投资者二级市场交易数据对投资者交易策略的特征进行研究,发现我国投资者整体上遵循动量交易策略,而对于小规模股票却采用反向交易策略。     

基于中国股市的动量策略和反转策略盈利性研究

本文测试了中国股票市场中A股的反转策略和动量策略的盈利性,实证结果证明了短期内的动量收益,而反转收益存在于中长期和长期。在对两类收益的原因探析中,本文证明反转收益部分归因于规模效应。Beta因素对两类收益都没有解释力。本文同时还测试了Fama-French三因素模型,发现包含市场风险、规模差异和账面市场价值比在内的三类公共因素均不能有效解释反转收益和动量收益。     

中国A股市场高交易量收益溢价的研究

美国学者研究发现,极端的股票交易量往往包含股票的价格信息,本文通过中国沪深A股股票市场进行验证,对股票在经历过极端的股票交易量即高交易量和低交易量后股票收益率进行研究,这样做的目的是研究两者之间的关系,结果发现交易量确实含有股票价格变动的信息,因此也证明了中国股市的确存在这种现象。为了排除盈利公告对高交易量收益溢价效应的影响,本文采用的样本剔除了包含盈利公告的区间,同样,这个结果也不能用系统性风险揭示,因为经历过极端股票交易量后的贝塔值没有显著的差异类似地,Mendelson(1987)认为低流动性带来的超常收益的观点也被否定。本文提出可见性假设,认为高交易量收益溢价效应是由于交易量的变化影响到了可见性的变化,从而使影响到了投资者的理解和判断,最终导致收益率的变化,本文通过做空来验证高交易量收益溢价效应的假设,从而论证了假设。     

中国A股市场高交易量收益溢价的研究

美国学者研究发现,极端的股票交易量往往包含股票的价格信息,本文通过中国沪深A股股票市场进行验证,对股票在经历过极端的股票交易量即高交易量和低交易量后股票收益率进行研究,这样做的目的是研究两者之间的关系,结果发现交易量确实含有股票价格变动的信息,因此也证明了中国股市的确存在这种现象.为了排除盈利公告对高交易量收益溢价效应的影响,本文采用的样本剔除了包含盈利公告的区间,同样,这个结果也不能用系统性风险揭示,因为经历过极端股票交易量后的贝塔值没有显著的差异类似地,Mendelson(1987)认为低流动性带来的超常收益的观点也被否定.本文提出可见性假设,认为高交易量收益溢价效应是由于交易量的变化影响到了可见性的变化,从而使影响到了投资者的理解和判断,最终导致收益率的变化,本文通过做空来验证高交易量收益溢价效应的假设,从而论证了假设.     

Is momentum really momentum?

Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on intermediate horizon past performance, especially among the largest, most liquid stocks. These facts are not particular to the momentum observed in the cross section of US equities. Similar results hold for momentum strategies trading international equity indices, commodities, and currencies.     

Momentum in Australian style portfolios: risk or inefficiency?

Momentum strategies have been reported to be successful across a range of different markets and asset classes. Three possible explanations for momentum have been hypothesised: risk, return continuation and excessive co‐movement of stock returns compared with dividends. Lewellen (2002) adds to this literature by providing evidence of strong momentum returns in style portfolios that can be explained by negative cross‐serial correlation, a result which supports the excess co‐movement hypothesis. We report robust evidence of style momentum in the Australian market and use the Jegadeesh and Titman (1995) return decomposition to show that this momentum strategy is predominately explained by positive autocorrelation. Our results support the return continuation hypothesis and confirm Chen and Hong's (2002) assertion that Lewellen's (2002) explanation of style momentum returns does not stand up out‐of‐sample.     

Size,value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated internationally relative to value. We provide international evidence on three sets of risk exposures of value and momentum returns: macroeconomic risk, funding liquidity risk, and stock market liquidity risk. We find that value returns are typically lower prior to a recession while momentum returns often exhibit little sensitivity. Value returns are typically lower in times of poor funding liquidity, whereas, with notable exceptions, momentum returns are typically unaffected. Lastly, for almost all countries, value returns are high in poor stock market liquidity conditions.     

Is momentum a self-fulfilling prophecy?

The author shows in a simple framework that momentum trading can exist in equilibrium and that momentum trading is profitable. A property of the model is that the relation between risk, reward, and the intensity of momentum trading provides a natural limit to the amount of momentum trading that will exist in equilibrium. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that momentum and long-term reversals should be observed in any market where there is noise. Thus, the model gives theoretical support to the empirical evidence that these anomalies are not artifacts of data snooping and to the extant empirical evidence that these anomalies are pervasive. Momentum traders observe noise shocks and trade on it as information. This trading incorporates a predictive role to the noise. That is, if agents believe a past price change to be informative of future price changes and act on this belief, it will be true and trading on this belief will be profitable. Thus, momentum trading is a self-fulfilling action.     

New empirical evidence on the investment success of momentum strategies based on relative stock prices

This paper provides significant extensions and tests of momentum trading strategies based on relative prices that were first explored by George and Hwang (2004). We develop new momentum strategies based on the ratio of the current stock price to each of five different reference points in past prices: 52-week high, 52-week median, 52-week low, half-year high, and 2-year high. We measure their investment performance on the basis of the Fama and French 3-Factor and Momentum Model (Carhart four-factor model), and further employ the technique of nested trading strategies to measure incremental performance. The strategy based on the ratio of current stock price to its 52-week high price is the most profitable, and its performance is robust when tested over a wide range of financial and economic factors. Our results provide strong new evidence of the investment merits of a momentum trading strategy based on the 52-week high price ratio, and add new weight to challenges to the hypothesis that the stock market is efficient in the semi-strong sense.     

克隆明星基金投资策略构建及其有效性研究

投资者对简单易行的投资策略梦寐以求。本文在股票价格具有惯性和明星基金具有股票选择能力的现实情况下，设计了一种简单易行的克隆明星基金投资策略，并以实际的金融数据对该种投资策略的有效性进行了实证分析。结果表明：该策略能够产生较好的投资收益，投资者利用该策略进行投资是有效的。     

Are investors consistent in their trading strategies? An examination of individual investor-level data

While it has been demonstrated that momentum or contrarian trading strategies can be profitable in a range of institutional settings, less evidence is available concerning the actual trading strategies investors adopt. Standard definitions of momentum or contrarian trading strategies imply that a given investor applies the same strategy to both their buy and sell trades, which need not be the case. Using investor-level, transaction-based data from China, where tax effects are neutral, we examine investors' buy-sell decisions separately to investigate how past returns impact differentially on the trading strategies investors adopt when buying and selling stock. After controlling for a wide range of stock characteristics, extreme price changes and portfolio value, a clear asymmetry in trading is observed; with investors displaying momentum behavior when buying stocks, but contrarian behavior when selling stocks. This asymmetry in behavior is not driven purely by reactions to stock characteristics or extreme stocks. We discuss behavioral and cultural explanations for our findings.     

The 52-week high,momentum, and predicting mutual fund returns

George and Hwang (J Finance 59:2145–2176, 2004) have shown that the 52-week high share price carries significant predictive ability for individual stock returns, dominating other common momentum-based trading strategies. Based upon their results and other methods, this paper examines and compares the performance of three momentum trading strategies for mutual funds, including an analogous 1-year high measure for the net asset value of mutual fund shares. Strategies based on prior extreme returns and on fund exposure to stock return momentum are also examined. Results show that all three measures have significant, independent, predictive ability for fund returns. Further, each produces a distinctive pattern in momentum profits, whether measured in raw or risk-adjusted returns, with profits from momentum loading being the least transitory. Nearness to the 1-year high and recent extreme returns are significant predictors of fund monthly cash flows, whereas fund momentum loading is not.     

Asymmetry,tail risk and time series momentum

In this paper, we investigate how to improve the time series momentum strategy by using partial moments. We find that reversals of time series momentum can be partly predicted by tail-distributed upper and lower partial moments derived from daily returns of commodity futures. Based on such information, we propose rule-based approaches to improve the trading signals suggested by the time series momentum strategy. The empirical results based on Chinese commodity futures document statistically significant improvements of the Sharpe ratio in the out-of-sample period. These improvements are robust to different look-back windows.     

Time-series and cross-sectional momentum in anomaly returns

We find strong evidence of time-series and cross-sectional momentum in the long–short returns of a comprehensive sample of anomalies. Strategies that exploit such persistence deliver significant abnormal returns that are robust to the stock momentum effect, cannot be explained by traditional asset-pricing models, and are more pronounced when arbitrage capital is scarcer or market liquidity is lower. Momentum in anomaly returns dissipates but does not reverse, in the long-run. Our findings are consistent with limits-to-arbitrage and slow-moving capital causing mispricing to persist. Supporting this explanation, we find that both the level and persistence of anomaly returns are positively related to idiosyncratic volatility.