基于牛市和熊市不同周期的股票市场动量效应研究

在参考国外研究方法的基础上,以周作为检验周期,将1997年6月至2001年6月的股市作为牛市,2001年6月至2005年6月的股市作为熊市,然后分别检验股市在这两个不同时期的动量效应.研究发现,赢家组合在牛市中存在着正的动量效应,输家组合在熊市中存在着负的动量效应.而牛市中的输家组合和熊市中的赢家组合都存在着价格的反转.     

动量交易策略及我国股票市场实证分析

动量交易策略指的是事先针对股票收益及交易量设定过滤规则,一旦股票收益或者股票收益和交易量同时满足过滤规则就买入或卖出股票的交易策略。动量交易策略的理论基础是行为金融学。国外投资者已经成功地在实践中应用了该策略。我国股票市场是否存在动量效应,还未形成统一的结论。在总结国内外学者研究方法的基础上,利用目前可用的数据,对我国股票市场在中期条件下动量交易策略的适用性进行了实证研究。但得出的结论并不支持存在动量效应。     

卖空约束下动量策略在牛市中的盈利性分析

众多实证研究发现,通过持有赢者组合多头和输者组合空头的动量套利策略可以获取显著的超额收益。考虑到我国A股市场卖空约束,选取沪深300样本股和中小板股票设置不同的对照组和投资期限,采用假设检验方法分析了2005年股改以来两次牛市行情中单一赢者组合及输者组合多头策略的盈利性特征,并检验了A股市场中是否存在动量套利交易的盈利模式。实证显示,即使不考虑交易成本,两种多头策略也都很难有显著的高于样本总体的收益率。     

Momentum is really short-term momentum

We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US market. There is no significant difference between the predictability of stock performance in the intermediate past and the recent past once we exclude these two months from the construction of momentum strategies in the US and each of the 26 major international markets.     

Momentum investing and the asset allocation decision

This study examines the active asset allocation decisions of Australian multisector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists in the Australian Equities, Australian Fixed Interest and Listed Property asset classes. Interestingly, balanced funds adopt contrarian strategies in the International Equities asset class. We also examine whether there is any association between a fund's market timing skill and the execution of momentum strategies. Our results show that fund managers with no market timing skill are momentum investors.     

Momentum Profitability and Market Trend: Evidence from REITs

This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.

Stock weighting and nontrading bias in estimated portfolio returns

Liu and Strong (2008) note that researchers often employ a simple (but incorrect) averaging approach that induces significant error into estimated buy‐and‐hold portfolio returns. This study explores the additional challenges that arise when stocks are subject to nontrading. We develop a decomposition of the total bias in estimated return into the components attributable to the stock weighting approach and the treatment of nontrading. While the latter is shown to be negligible, the former can approach 150 basis points per month. Our empirical analysis of Australian equities shows that the simple averaging approach tends to overstate the size and book‐to‐market effects, and understate the momentum effect.     

短期动量效应与收益反转效应研究——基于中国中小板市场数据实证分析

依据2011年中小板市场股票的日收益率考量对该市场短期动量效应与反转效应。结果显示:当形成期为一周时,持有期为一周、四周、八周的情况下市场均存在收益反转现象;当形成期为两周时,持有期为四周、八周的情况下市场均存在收益反转现象;当形成期为四周、八周时,各种持有期情况下均存在反转效应。重叠抽样结果显示:除了形成期为两周且持有期为两周的情况下,市场效应不明显之外,其他均显著表现为收益反转效应。同时采用静态与动态的投资策略验证2012年上半年的数据,发现时间段的选取对于研究结论有显著的影响;动态投资策略能够实现更为可观的收益,但收益波动也更为剧烈。     

Momentum in stock returns: evidence from an emerging stock market

This study examines the presence and sources of momentum profits in the Dhaka stock exchange (DSE). Although the short-term reversal and intermediate-term momentum are found to be evident, short-term reversal is not as consistent and significant as intermediate-term momentum. Further examination shows that momentum profits in the DSE cannot be explained by the rational source like market factor but can be explained by the size factor. We argue that presence of large number of small stocks and lack of arbitrage opportunity could be the possible causes of momentum effect in the DSE.     

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。     

Momentum in weekly returns: the role of intermediate‐horizon past performance

Gutierrez and Kelly (2008) recently documented momentum in weekly returns. Using the Australian market as a setting, we find that stocks with high 1‐week returns exhibit a continuation in returns up to 1 year after a brief initial return reversal. However, after controlling for the intermediate‐horizon past performance, the continuation in returns after 1‐week returns disappears. These findings suggest that different past investment horizons contain separate information about price momentum and that intermediate‐term trends dominate short‐term trends in driving future returns. Overall, we show that understanding momentum over different horizons facilitates the design of more profitable trading strategies.     

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.     

Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities

This paper investigates the changes in credit spread volatility during 1993–2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-related securities became popular. In contrast, investment-grade bonds exhibited no significant change in volatility. The junk bonds variance ratios changed from being less than one to greater than one. Using the GJR-Garch model, the conditional volatilities of junk bonds increased in the second half of the period and the mean reversion speeds slowed, suggesting a longer time for mean reversion to occur. Our analysis rules out treasury volatility, credit spread level, equity market return, T-bill rate, curvature of the Treasury curve, financial crisis, quantity of defaults and standard deviation of defaults as explanations for the increase in junk bond volatility. In contrast, volatility of equity returns provides a partial explanation of junk bond spread volatility in the later period.     

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.     

Country and industry concentration and the performance of international mutual funds

We examine the relation between country and industry portfolio concentration and performance using a data set of international equity mutual funds. When sorted by concentration measures, funds in the most concentrated quintile outperform those in the most diversified quintile by 0.16% and 0.30% monthly in country and industry dimensions, respectively. Further analysis shows that the superior performance of concentrated funds is largely driven by industry rather than country concentration, suggesting the existence of global industry private information. Finally, we show that industry-concentrated funds rotate top-holding industries less frequently than their diversified counterparts, and that the industries these funds purchase subsequently outperform the industries they sell.     

惯性投资策略对股票收益惯性影响的实证研究——基于证券投资基金经理投资行为

选取沪深两市2003年6月至2007年6月共55只封闭式基金与18只开放式基金及其重仓持有的126支股票为研究对象,通过构建MT指标考察中国证券投资基金经理惯性投资策略对股价惯性的影响.研究表明,中国开放式基金经理大多倾向于采取追涨杀跌的惯性投资策略,并且惯性收益随MT值的上升而上升,说明证券投资基金经理的惯性投资策略影响了重仓股股票的惯性收益.     

Portfolio Insurance with Liquidity Risk

This paper studies a portfolio insurance problem with liquidity risk. We consider an investor who wants to maximize the expected growth rate of wealth in a low liquid market. The investor can trade assets only at random times and his wealth must not fall below a predetermined floor. We find the optimal expected growth rate and an optimal strategy. The optimal strategy is closely related with a traditional constant proportion portfolio insurance strategy. Also we show that the same strategy maximizes the growth rate almost surely. Further we study the floor effect on the growth rate.     

Portfolio optimization for student t and skewed t returns

We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential Lévy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time through common driving factors—one fast-varying and one slow-varying. Using Fourier analysis we derive an explicit formula for the approximate price of any European-style derivative whose payoff has a generalized Fourier transform; in particular, this includes European calls and puts. From a theoretical perspective, our results extend the class of multiscale stochastic volatility models of Fouque et al. [Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives, 2011] to models of the exponential Lévy type. From a financial perspective, the inclusion of jumps and stochastic volatility allow us to capture the term-structure of implied volatility, as demonstrated in a calibration to S&;P500 options data.     

The effect of the Euro on country versus industry portfolio diversification

We examine the relative benefits of industrial versus geographical diversification in the Euro zone before and after the introduction of the common currency. A priori, one may expect that increased stock market correlation would precipitate a move from geographical towards industrial diversification. We employ the empirical model of Heston and Rouwenhorst but show that adopting a panel data approach is a more efficient estimation method. We find evidence of a shift in factor importance; from country to industry. However, this is not exclusive to the Euro zone but is also present for non-EMU European countries. Therefore, fund managers should pursue industrial rather than geographical diversification strategies.     

Costs and benefits of financial regulation: Short-selling bans and transaction taxes

We quantify the effects of financial regulation in an equilibrium model with delegated portfolio management. Fund managers trade stocks and bonds in an order-driven market, subject to transaction taxes and constraints on short-selling and leverage. Results are obtained on the equilibrium properties of portfolio choice, trading activity, market quality and price dynamics under the different regulations. We find that these measures are neither as beneficial as some politicians believe nor as damaging as many practitioners fear.