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     

The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis

This study investigates the directional predictability of overnight periods for intraday returns of large Australian stocks. The intraday reactions to overnight developments are studied using cross-quantilograms, a new, flexible methodology that facilitates detailed insights into the quantile dependence between two time series. The results provide evidence for the existence of intraday reversals after overnight periods that carry very bad news, whereas the picture of the short-term reactions to very positive overnight returns is mixed. The observed rebounds concern extreme quantiles and occur with a short delay during the first part of the trading day. The study also shows that continuation and reversal effects are not mutually exclusive. The economic significance of the identified patterns is illustrated by analysing the performance of a simple contrarian strategy.     

Momentum in Taiwan: seasonality matters!

Previous studies suggest that momentum exists in international stock markets with the exception of Asia. Using a large data set of Taiwanese stocks, we show that momentum does exist, but it is restricted to the months following the deadline for annual statements. During the remaining months, a reverse momentum, or contrarian, strategy produces significant returns. These contrarian returns are particularly high during the national holidays linked to the Lunar New Year and the Lunar Moon Festival.     

动量和反转投资策略在我国股市中的实证分析

本文采用沪深两市1995年前上市的股票作为样本,发现我国股市中也存在明显的动量和反转盈利,且两种效应的强弱与大盘走势相关,当市场为牛市特征时,动量效应明显强于反转效应;当市场为熊市特征时,则反之.经典的CAPM模型无法解释动量和反转盈利的来源,检验表明投资者对不同类型信息的不同反应方式,可以很好解释我国股市中的动量和反转盈利,利用上述检验结果还可以解释我国股市中许多有趣的特征.     

Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach

We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail, manufacturing and gold-mining equity sectors of the Australian market in periods before, during and after the 2008–2009 global financial crisis (GFC). Our results indicate that the retail portfolio is less risky than the manufacturing counterpart in the crisis period, while the gold-mining portfolio is less risky than both the retail and manufacturing sector portfolios. Both the retail and gold stocks display a higher propensity to yield positively skewed returns in the crisis periods, contrary to the manufacturing stocks. The r-vine is found to best capture the multivariate dependence structure of the stocks in the retail and gold-mining portfolios, while the d-vine does it for the manufacturing stock portfolio. These findings could be used to develop dependence risk- and investment risk-adjusted strategies for investment, rebalancing and hedging which more adequately account for the downside risk in various market conditions.     

When Do Opening Stock Returns Tend to be Higher?

Abstract

In this study, I make an effort to formulate a trading rule that would make use of some systematic interday patterns in individual stocks’ opening returns. I analyze intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2012. I document that if the general market direction of the previous day's opening session is controlled for, then a stock's opening return tends to be higher if, on the previous trading day, its opening return was relatively high (either positive, or higher than the same day's opening market return) and its open-to-close return was relatively low (either non-positive, or lower than or equal to the same day's open-to-close market return). Finally, for the sampling period, I construct two different investment portfolios involving a long position in the stocks on the days when, according to the findings, their opening returns are expected to be high and a short position in the stocks on the days when, according to the findings, their opening returns are expected to be low. Both portfolios are found to yield significantly positive returns, providing evidence for the practical applicability of the documented patterns in opening stock prices.     

Performance of value- and size-based strategies in the Italian stock market

This paper investigates the performance of size- and value-based strategies in the Italian stock market in the period 2000–2018. Previous research argued the impossibility to define properly value-sorted portfolios due to the inaccuracy of book-to-market ratios available for Italian listed stocks. Using more accurate data, we implement portfolios sorting based on value and growth stocks, to assess the relevance of the value factor in the Italian stock market. We find that the capital asset pricing model fails to explain the cross-section of returns on the different strategies while the Fama and French three-factor model provides a better fit. The results show that all three factors are significant in explaining Italian stock returns during the sample period. Unlike previous studies, which either found no value effect at all or no clear-cut results when testing the book-to-market variable, we find that the value factor is statistically significant and the associated risk premium is of a considerable size.     

Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002

This study of overreaction is motivated by the unique characteristics of exchange-traded funds (ETFs), which should contribute to market efficiency. Since ETFs represent portfolios of stocks, they may not be as susceptible to short-term overreaction as individual stocks. In addition, they can be traded throughout the day and can be sold short, which might further limit potential overreaction. Yet, the tradability of ETFs may allow unusual pressure on ETF prices that is not initiated by price movements of all the component stocks. We find substantial overreaction of ETFs during normal trading hours (9:30 a.m. to 4 p.m.) and after hours, which presents opportunities for feedback traders. Extreme price movements of ETFs occur more frequently after hours. Yet, the after-hours correction of extreme price movements that occurred that day is more pronounced than the day correction of extreme stock price movements that occurred in the previous after-hours period, even after controlling for ETF type and other potential confounding effects. The degree of overreaction is also more pronounced for international ETFs.     

On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach

We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis (MRA) to investigate the dynamic behaviour of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme movements and long-term dependence in stock returns. Using weekly data for the period 2005 to 2010, our results reveal that the wavelet MRA is able to reconstruct the effects of major extreme shocks on stock returns of studied markets, such as the Asian financial crisis, the 9/11 terrorist attacks and the 2007–2009 financial crisis. Moreover, the wavelet-based global Hurst exponent indicates the presence of long-term dependencies in stock returns of all the considered markets, except for France where the anti-persistent behaviour is detected. Overall, our findings are useful to assess the stock market efficiency and provide new insights into stock market dynamics over different time scales.     

Can investors of Chinese energy stocks benefit from diversification into commodity futures?

We attempt to evaluate the diversification potential of commodity futures for energy stocks in China. With a variety of copula functions and three risk-based dynamic measures, our results show that even though commodity futures are not helpful in improving the risk-adjusted returns of energy stocks, they can significantly reduce the volatilities and expected-shortfalls of the diversified portfolios. Such diversification benefits are much larger during large market downturns than during normal times. In particular, gold (copper) futures are the most (least) attractive in diversifying risks of energy stocks in most cases. The results also highlight that the non-linear dependence cannot be ignored when estimating the diversification benefits, and more various risk hedging strategies are expected for investors holding energy stocks, especially coal company stocks.     

Return seasonality in the foreign exchange market

I examine return seasonality in the foreign exchange market using currency futures during the period 1973?2015. All the G10 currency futures yield negative returns in January and this effect happens more often in the countries that have a tax year ending in December. In contrast, returns offered in April are positive. To exploit these anomalies, I use a seasonality strategy that selects portfolios based on their historical same-calendar-month returns. I find that this strategy does not work in the currency market, although I find consistent results with Keloharju et al. in the stock portfolios.     

The anatomy of returns from moving average trading rules in the Russian stock market

This paper examines the profitability of index trading strategies that are based on dual moving average crossover (DMAC) rules in the Russian stock market over the 2003–2012 period. It contributes to the existing technical analysis (TA) literature by comparing for the first time in emerging markets the relative performance of individual stocks’ trading portfolios with that of trading strategies for the index that consists of the same stocks (i.e., the most liquid stocks of the Moscow Exchange). The results show that the best trading strategies of the in-sample period can outperform buy-and-hold strategy during the subsequent out-of-sample period, although with low statistical significance. In addition, we document the benefits of using DMAC combinations that are much longer than those employed in previous TA literature. Moreover, the decomposition of the full-sample-period performance into separate bull- and bear-period performances shows that the outperformance of the best past index trading strategies over is mostly attributable to the fact that they managed to stay mostly out of the stock market during a dramatic crash caused by the global financial crisis.     

Do short sellers outperformthe market?

During the current financial crisis, short sellers have been blamed for causing or at least accelerating the crash of the financial market. They have been accused of manipulating stock prices so that they would fall and getting rich at the ‘naive’ investors' expense. This study investigates the validity of these accusations by following the TA100 Index and four designed portfolios during the period 2006 to 2008. The designed portfolios were constructed in accordance with the weekly report on short selling activity issued by the Tel Aviv Stock Exchange. The results show that short sellers did not succeed in outperforming the market during that 3-year period. Moreover, the portfolios that did not include the stocks picked by the short sellers performed more poorly (they should have been sold short) than the portfolios that included stocks chosen by the short sellers. These results contradict the hypothesis that short selling disrupts market efficiency.     

Should emerging market investors buy commodities?

One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities. Using an asset pricing framework, we investigate the benefits to investors from holding commodities, both individually and in portfolios. Generally, commodity and stock markets are integrated, although there are time-varying benefits to investors that are subject to sample period selection and investment horizon. We show that Asian investors receive positive risk adjusted returns in gold and rice markets but not in any of the other commodity markets investigated. The risk adjusted returns are time-varying: during the Asian financial crisis risk adjusted returns were negative – a penalty for investing in commodities – whereas during the global financial crisis the reverse was true and investors earned positive excess returns. The time-varying nature of the benefits that arise from diversification in commodities and their breakdown during periods of crisis, highlight the problems that investors may face when using commodities for long-term investment in addition to traditional holdings of stocks and bonds.     

Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance

The study analyzes the relation between a trading imbalance metric that captures data observable by investors, and future momentum and reversals in Taiwan index futures returns. Standard regression analyses do not show any significant dynamic relations between daily index futures returns and the trading imbalance, regardless of whether the trading imbalance metric is lagged, contemporaneous, or leads the index futures return. However, when the analyses are focused on periods with extreme trading imbalances I find that the daily index futures returns exhibit significant reversals following periods of extreme (low) trading imbalances and low returns. I also find some evidence of residual momentum in consecutive daily index futures returns following periods of extreme (high) trading imbalances and high returns. Trading simulation, directional accuracy, and market timing tests show these effects to be economically significant, even after accounting for transaction costs.     

Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification

This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that the dependence between extreme movements of the two assets is not pronounced and confirms the role of gold as a safe haven asset. Based on analyzing the efficient frontier, CCC-GARCH optimal weights, hedge ratios and hedging effectiveness, we further show that adding gold into Chinese stock portfolios can help to reduce their risk. Gold appears to be the most efficient diversifier for stocks of the materials sector and the less efficient for the utilities sector. As a robustness check, we also compare gold to oil and indicate that gold is more efficient than oil in the diversification of Chinese stock portfolios.

     

Grexit news and stock returns

During the first 8 months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of 1 January 2015–19 August 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an 8-month snapshot of the Greek Government debt crisis.     

Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive (negative) among overpriced (underpriced) stocks. We offer a new active anomaly-selection strategy that capitalizes on this effect. To this end, we consider 11 equity anomalies in the U.S. market for years 1963–2016. Buying (selling) long (short) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0.97% to 1.14% per month, outperforming a naive benchmark that equally weights all the anomalies by 45–70%. The effect cannot be subsumed by any other established anomaly-return predictor, such as momentum or seasonality. The results are robust to many considerations, including different numbers of anomalies in the portfolios, subperiod analysis, as well as estimation of idiosyncratic risk from the alternative models and throughout different periods.     

Dividend-Driven Trading Strategies: Evidence from the Warsaw Stock Exchange

This study presents an analysis of dividend-driven trading strategies based on dividend yield growth effects in the Polish stock market in the years 1994–2004. Results indicate that the dividend yield growth portfolios were capable of beating the market in the entire sample period. Their performance, however, was not consistent over time and the highest returns were obtained during final years. Empirical findings based on the analysis of different types of portfolios demonstrate the importance of dividends as a source of significant fundamental information items from stock market companies. At the same time, they show that a dividend investment strategy for the Polish stock market is most successful when the selection of stocks for the dividend yield growth portfolios is subject to further restrictions, most notably concerning company size.

Investment horizon effect on asset allocation between value and growth strategies

How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama-French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much.