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

Profitability of Contrarian Investment: Evidence from the Chinese Stock Market

Value (contrarian) investment strategies, or buying stocks that have low market prices relative to a measure of their fundamentals such as earnings and book value, has long been a widespread investment style. In this paper we carry out an empirical research on the profitability of value (contrarian) investment strategies in the Chinese stock market We find that returns on value stocks portfolios are significantly higher than the returns on glamour stock portfolios when portfolios are formed using variables such as B/M and E/P. We then examine whether various risk factors can explain the return differences between value and glamour portfolios. While traditional CAPM beta has almost no explanatory power, the Fama-French factors are highly significant in explaining the superior returns of value portfolios but empirical support for higher co-moments (co-skewness and co-kurtosis) is mixed.