中国股市价值反转投资策略有效性实证研究

本文以中国深沪A股股票市场为考察对象 ,分析了价值反转投资策略的有效性。作者通过实证分析发现 :在中国深沪A股股票市场上 ,以帐面价值与市场价值比 (B M)、B M GS等指标构造的价值反转投资策略可以产生显著的超额收益率 ,并且其显著程度因持有期不同而不同。接着 ,作者利用CAPM模型、Fama French三因素模型并引入了协偏度 (coskewness)和协峰度 (cokurtosis) ,构造出多风险因子模型来解释价值反转投资策略超额收益率。我们发现 :在经过传统风险因素调整后 ,价值反转投资策略效果依然明显 ;CAPM模型无法解释价值反转投资策略超额收益率 ;Fama French三因素模型对价值反转投资策略超额收益率的解释能力最为显著 ,但对于有些价值投资策略 ,在Fama French三因素基础上加上协偏度和协峰度因子后 ,模型的解释能力有所提高     

A new copula for modeling portfolios with skewed,leptokurtic and high-order dependent risk factors

The paper proposes a new copula for modeling higher-order dependencies between pairs of portfolio assets, employing orthogonal polynomials to model symmetric co-kurtoses. Skewness and leptokurtosis of portfolio margins are modeled either with the Gram–Charlier expansion of the Normal distribution or Gram–Charlier-like expansions of leptokurtic laws. Details on the estimation method of this copula are provided, and a simulation study is carried out to assess its potential range of applicability with respect to widely employed alternatives in the copula literature. Empirical evidence of the suitability of this approach to model financial data and compute risk measures is provided.