| 考察不同股票特征因素下上海A股市场惯性与反转效应研究 |
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| 引用本文： | 梁学玲.考察不同股票特征因素下上海A股市场惯性与反转效应研究[J].经济问题,2008,40(4). |
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| 作者姓名： | 梁学玲 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 采用Jegadeesh和Titman研究方法,分别检验了上海A股市场股票的交易量、规模、市盈率、BE/PE值、价格五因素与市场惯性效应和反转效应之间的关系.以该五因素作为变量进行分组的实证结果显示:该五因素对市场惯性效应与反转效应存在不同程度的影响.
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| 关 键 词： | 惯性效应 反转效应 交易量 市盈率 净值市值比 |
How do Stock Characteristics Influence the Anormalies of Momentum & Contrarian in the Shanghai A Stock Market |
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| LIANG Xue-ling.How do Stock Characteristics Influence the Anormalies of Momentum & Contrarian in the Shanghai A Stock Market[J].On Economic Problems,2008,40(4). |
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| Authors: | LIANG Xue-ling |
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| Institution: | LIANG Xue-ling (Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China) |
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| Abstract: | In the paper,we used the Jegadeesh & Titman research method to explore the relationships between the anormalies of momentum & contrarian in the Shanghai A market and the following five variables: transaction volume,scale,profit ration,BM/PE and price.The results show that the five variables have differential impacts on the stock's momentum & contrarian. |
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| Keywords: | momentum contrarian volume BE/ME PE |
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