沪市A股过度反应和反应不足的实证研究

在对股票超额收益率采用两种不同的计算方法后发现,在投资组合的形成期内表现最好的赢者组合和表现最差的输者组合,绝大多数在持有期内的收益率都不能高于市场平均收益率,而且随着持有期的延长,赢者组合和输者组合负的超额收益率开始变得显著,这说明前者存在过度反应而后者存在反应不足.此外,两个组合之间收益率的差距却始终不显著,无论是在赢者组合表现得比输者组合好的情况下还是输者组合表现得比赢者组合好的情况下,两者的差异在统计上全都不显著.这样,利用两组合收益上差距的动量策略和反转策略无法获得显著的收益,这两种策略在沪市A股中基本是不可行的.     

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。     

前期高价动量策略在我国中小板市场的有效性研究

本文验证了前期高价动量策略在我国中小板股票市场的有效性,发现仅形成期为1个月的动量策略在接下来3—6个月内可获得显著的超额收益率;当形成期为3个月或6个月时,持有期为1个月的动量策略发生了巨大的亏损。在考虑了市场趋势的情况下,发现获得显著收益的动量组合会在牛市中放大这一收益,而发生显著亏损的动量组合会在熊市中放大这一亏损。     

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。     

选择性关注、鸵鸟效应与市场异象

基于认知心理学视角,本文研究了投资者对于信息的选择性关注程度对市场异象的影响效应,并在不同的市场态势下检验了这种影响效应的动态变化。研究发现:(1)投资者关注显著影响股票的横截面收益,其中价格反转收益与投资者关注显著正相关,而盈余惯性收益与投资者关注显著负相关;(2)基于投资者关注的认知状态差异,我国资本市场存在"鸵鸟效应",即价格反转收益在牛市比熊市更强,而盈余惯性收益在熊市比牛市更强。本文的研究结论证实了"投资者关注"假设,为投资者和监管层了解市场异象形成的关键驱动因素及其形成机理提供帮助。     

我国开放式股票型基金窗饰效应研究

以开放式股票型基金为研究对象实证研究我国基金市场的窗饰效应。首先,初步考察基金对股票的买卖倾向,发现基金在报告期末更加倾向于买进盈利股票,而卖出亏损股票的行为则不明显。之后构建一个＂买入-持有＂投资策略,比较该策略收益与基金实际收益,发现前者能够获得2.38%的平均超额收益,证明基金在报表中公布的投资组合与其平时表现存在显著差异,剔除其他一些可能导致基金投资组合调整的因素后,证明我国开放式股票型基金存在显著的窗饰效应,且成长型基金以及之前业绩较差、股票投资换手率较高的基金更可能出现窗饰效应。     

公司盈利不稳定性对中国股市动量策略的影响研究

通过分析市场盈利不稳定性对中国股市动量策略收益的影响,构建了包含动态权重的动态动量策略。研究发现,市场盈利不稳定性对中国股市的动量效应具有显著为负的影响,并且该影响在不同的市场涨跌状态下表现出非对称性。具体而言,当盈利不稳定性升高时,动量效应减弱,并且当市场处于上涨状态时,上述关系更为显著。相对于传统的静态动量策略,基于市场盈利不稳定性所构建的动态动量策略表现出更强的择时能力,具备更为优异的市场表现,最高可获得13.62%的年化平均收益率,与之相比,传统静态动量策略的最高年化收益率仅为5.16%。     

基金经理变更对基金风险收益的结构性影响 ——基于时变性和异质性视角的实证

基金经理变更的效果评价对基金公司治理和基金产品投资有一定参考价值.理论上,基金经理变更是降低委托代理成本和强化代理人激励的有效方式;但实证结果却并不完全相同.综合现有文献,本文采用2004—2018年国内股票型和混合型开放式基金的11021条季度数据样本,以风险收益类指标为基础,通过纳入各类型因素的综合考量,对基金经理变更的实际效果及其驱动因素进行了全面诊断.研究结果显示:(1)基金经理变更事件对基金风险收益的影响具有显著异质性和时变性,不能简单视为基金产品投资价值改变的明确信号;(2)基金的风险收益指标在基金经理变更前后存在明显的反转效应,说明基金经理变更的实际效果会更多受制于基金前期收益状况或风险水平的制约;(3)继任基金经理的个性特征不能显著影响基金经理变更效果,反倒是基金个体特征和外部市场环境的制约作用更为明显.由此,基金公司管理和基金产品投资不应高估基金经理变更的作用,应依据基金前期的风险收益特征构建适当的反向投资策略,并关注基金个体和市场环境因素的制约.     

中国股市个股非流动性、换手率和短期反转的关系

本文在排除买卖报价反弹、周末效应等干扰因素的前提下,利用分组构建逆势投资组合及Fama-Macbeth回归方法,研究周期下我国股市中的短期收益反转现象。实证结果表明：我国股市中存在短期收益反转现象,短期反转在股票输家中表现更为明显;股票收益的短期反转随着非流动性的增强而增强;我国股市具有极高换手率的投资组合表现出特殊性,极高换手率对股票输家的短期收益反转具有抑制作用,而对股票赢家的短期收益反转具有促进作用。     

上海股市周内效应检验

本文就上海股市是否存在显著的周内效应问题,运用GARCH模型对上证综指1996~2008年的收益数据进行了实证检验,检验结果表明,上海股市存在显著为负的周四效应,而且周四的平均收益低于周内其他;日的平均收益较多,说明上海股票市场缺乏效率。并指出在推出股指期货之后,期货市场和股票市场间的套利交易将会降低股票市场的周内效应,提高市场的效率。     

Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market

We use Lo and MacKinlay's [Lo, A.W., MacKinlay, C., 1990. When are contrarian profits due to stock market overreaction? The Review of Financial Studies 3, 175–205.] contrarian portfolio approach to examine the profitability of short-horizon contrarian strategies in the context of the Australian Stock Exchange. The results show that simple contrarian strategies lead to small but still statistically significant profits when applied to daily and intra-day portfolio formation. However, the profits are not sufficient to cover transaction costs for institutional investors. The source of contrarian profits is also analyzed leading to the conclusion that stock market overreaction is found to be the primary source of contrarian profits. We also examine the relation between the degree of return reversal and order flow activity after abnormal price changes. We find that the degree of return reversal is positively related to the level of order flow imbalance. Larger profits are generated from order flow based contrarian strategies when the order flow imbalances are high.     

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.     

Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?

This study examines the return patterns of hotel real estate stocks in the U.S. during the period from 1990 to 2007.We find that the magnitude and persistence of future mean returns of hotel real estate stocks can be predicted based on past returns, past earnings surprise, trading volume, firm size, and holding period. The empirical evidence found from this paper confirms that short-horizon contrarian profits can be partially explained by the lead-lag effects, while in the intermediate-term price momentum profits and long-term contrarian profits can be partially attributed to the firms’ overreaction to past price changes. Our results support the contrarian/overreaction hypothesis, and they are inconsistent with the Fama-French risk-based hypothesis or the underreaction hypothesis. The study also confirms the earning underreaction hypothesis and finds the high volume stocks tend to earn high momentum profits in the intermediate-term. The study finds that the earning momentum effect for hotel stocks is more short-lived and smaller in magnitude than the market average. Price momentum portfolios (or contrarian portfolios) of big hotel firms underperform small hotel firms and the hotel price momentum portfolio (or contrarian portfolios) significantly underperform the overall market over the intermediate-term (or the long-term). These findings imply that the U.S. hotel industry, particularly the big hotel firms, have experienced relatively conservative growth in the sample period. It suggests that a conservative hotel growth strategy accompanied by an internal-oriented financing policy is proper in a period of prosperity.     

Sources of contrarian profits in the Japanese stock market

This paper investigates the profitability of contrarian strategies on the Tokyo Stock Exchange (TSE) across various ranking and holding horizons ranging from 1 month to 3 years. In sharp contrast to the evidence from the U.S. and European markets, our data show that contrarian strategies are profitable in Japan across all horizons, especially with a very short horizon of 1 month or a very long horizon of 2 years or longer. The results are very robust to skipping 1 month between the holding and ranking periods, excluding firms with extreme past returns, and partitioning the whole sample into bull and bear subperiods. In addition, we find that contrarian strategies perform much better when the aggregate market also performs better in either the ranking or the holding period. Finally, contrarian profits are mostly attributed to the lead–lag effect. Further analysis indicates that contrarian profits are not attributed to the pricing errors of the Fama–French three-factor model. Instead, contrarian profits are mainly due to cross-autocorrelations among firm-specific error components of the Fama–French three-factor model.     

Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies

The contribution of this paper is to enable solid conclusions to be drawn about the existence of momentum effects in China as the current evidence is unsatisfactory. We review and analyse the existing empirical studies on momentum and contrarian strategies in China and show that many of the findings in these studies appear inconsistent, if not actually contradictory. To clarify this confused situation we initially identify common findings in the diverse and seemingly contradictory body of existing empirical evidence. Subsequently, we systematically assess how the design of empirical studies affects the results of investigations in this area. We do this by conducting an empirical analysis of monthly data on Chinese A shares, varying one factor in the research design at a time (sample period, equally or value-weighed portfolios, skipping a period between portfolio formation and holding periods, and exclusion of post-IPO observations). This allows us to pinpoint directly how each of these factors affects momentum profits and thus when these profits are likely to be observed. It also indicates why studies using different designs might have arrived at seemingly inconsistent conclusions. Overall, we draw a number of conclusions: there appear to exist medium- and longer-term reversals in the pre-2001 period and short-term reversals and longer-term momentum effects thereafter; there is substantial time-variation in the profits to momentum strategies; small stocks exhibit stronger reversals than their larger counterparts; a large fraction of portfolio returns occur in the first month after formation; there is evidence of post-IPO price drifts. In summary, this study reconciles and explains the inconsistent evidence on the existence of momentum and contrarian effects in China allowing clear conclusions to be drawn.     

Contrarian and Momentum Strategies in the Spanish Stock Market

There is extensive international evidence that the momentum strategy yields positive abnormal returns when short–term periods are considered, whereas the contrarian strategy is effective for long–term periods. However, this topic has received scarce attention in the Spanish stock market. We show that these two phenomena seem to be present in this market, and in particular that the 12–month momentum strategy and the 60–month contrarian strategy yield positive abnormal returns, although the effectiveness of the contrarian strategy is under suspicion when non–overlapping test periods are used. Our study therefore provides additional evidence that the results obtained in the literature on this topic are not from data snooping.     

Rational Momentum Effects

Momentum effects in stock returns need not imply investor irrationality, heterogeneous information, or market frictions. A simple, single-firm model with a standard pricing kernel can produce such effects when expected dividend growth rates vary over time. An enhanced model, under which persistent growth rate shocks occur episodically, can match many of the features documented by the empirical research. The same basic mechanism could potentially account for underreaction anomalies in general.     

险资持股对上市公司股价波动的影响研究 ——基于机构投资者异质性视角

保险机构已经成为资本市场重要的机构投资者,其在整个资本市场中的作用日益受到关注.基于机构投资者异质性的视角,对保险机构和证券投资基金、社保基金以及Q FII等其他机构投资者的持股特征进行对比分析,总结梳理保险机构投资者持股的特征.并运用面板数据模型,从长期持股和持股比例变动两个方面对比分析保险机构持股与证券投资基金持股对股价波动的影响.结果表明:在样本期间内,相对于证券投资基金,保险机构长期持股起到了稳定股市的作用,但保险机构持股比例变动会加剧股市的波动.     

Are insider trades informative?

We examine insider trading activities of all companies tradedon the NYSE, AMEX, and Nasdaq during the 1975-1995 period. Ingeneral, very little market movement is observed when insiderstrade and when they report their trades to the SEC. Insidersin aggregate are contrarian investors. However, they predictmarket movements better than simple contrarian strategies. Insidersalso seem to be able to predict cross-sectional stock returns.The result, however, is driven by insider's ability to predictreturns in smaller firms. In addition, informativeness of insiders'activities is coming from purchases, while insider selling appearsto have no predictive ability.     

Recent evidence on the performance and riskiness of contrarian portfolios

The paper assesses the most recent performance, persistence and riskiness of contrarian portfolios. Evidence from the major world and European market of France shows that such portfolios appear profitable on average, but their performance is not persistent from one holding period to the next; hence there exist inherent risks, especially for investors that remain in markets for up to two consecutive investment periods. These risks, as measured by the CAPM (traditional, and less traditional versions that are meant to capture timing) and the Fama–French model, are not systematic and they are not related to market timing. Overall, taking only long positions in normal markets and hedged positions following market shocks seems to be the most promising route for contrarians in France.