共查询到19条相似文献，搜索用时 46 毫秒
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因不能有效反映股票盈利的相对强弱,基于总收益排序的动量或反转组合,通常包含大量高Be-ta值和小市值股票,承担着较大风险。为此,本文采用风险调整后的收益评价,即基于残差收益排序,考察中国A股市场月度数据的动量或反转效应,结果发现:在全样本阶段存在显著的残差反转效应,不存在残差动量效应,这在股权分置改革之后更明显;相对于总收益反转组合,残差反转组合不仅具有更高的显著收益和Sharpe比率,还具有较小的系统风险,并受公司规模因素影响较小。 相似文献
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基于中国股市的动量策略和反转策略盈利性研究 总被引：1，自引：0，他引：1
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。 相似文献
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中小板上市公司银行债权具有一定的公司治理效应,根据期限结构对银行债权进行划分,探讨其对公司绩效、代理成本和自由现金流的影响。研究表明,银行债权对公司绩效的影响显著为负,长期债权对公司绩效的负面效应相对于短期债权较弱;银行债权具有降低企业代理成本的作用,尤其是短期债权的作用更加明显;银行债权并未起到约束企业自由现金流的作用。 相似文献
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We examine day‐trading activities for 540 stocks traded on the Korea Stock Exchange using transactions data for the period from 1999 to 2000. Our cross‐sectional analysis reveals that day‐traders prefer lower‐priced, more liquid, and more volatile stocks. By estimating various bivariate VAR models using minute‐by‐minute data, we find that greater day‐trading activity leads to greater return volatility and that the impact of a day‐trading shock dissipates gradually within an hour. Past return volatility also positively affects future day‐trading activity. We also find that past day‐trading activity negatively affects bid‐ask spreads, and past bid‐ask spreads negatively affect future day‐trading activity. Finally, we find that day‐traders use short‐term contrarian strategies and their order imbalance affects future returns positively. This result is consistent with a cyclical behavior of day‐traders who concentrate their buy or sell trades at the bottom or peak of the short‐term price cycles, respectively. 相似文献
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This study analyzes why the negative momentum effect appears in Asian (China, Japan, Korea) stock markets, contrary to the U.S. market. We use principal component momentum (PMOM), a newly devised momentum measure. The PMOM is constructed by extracting commonalities from traditional momentum measures using principal component analysis. The results show evidence of positive and negative momentum profits in the U.S. and Asian markets, respectively. Negative momentum profits in Asian markets are attributable to the strong performance reversal of small stocks in the loser portfolio. Conversely, the positive momentum profits of the U.S. market are driven by the performance continuity of small stocks in the winner portfolio. The PMOM strategy is significantly more advantageous than traditional momentum strategies, based on the economic and statistical perspectives of momentum profits. These results are robust to changes in empirical designs. 相似文献
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Stefano Mengoli 《International Review of Financial Analysis》2004,13(3):301-331
This paper investigates the source of momentum profits, while inferring the validity of the assumptions underlying rational and behavioural theories. Using a unique sample of securities listed in the Italian Stock Exchange from 1950 to 1995, we observe that buying better performing stocks in the previous 3-12 months and selling worse performing stocks over the same period yields significant profits in the short term (less than 1 year). Results also hold when conditioned upon different risk specifications. On the other hand, the continuation effect seems to significantly revert over a longer period. More importantly, in contrast with Conrad and Kaul [Rev. Financ. Stud. 11 (1998) 489], bootstrap and Monte Carlo simulations show that momentum profits are more likely to be generated by stock returns time series properties rather than by their cross-sectional differences. While the overall findings cannot reject the market efficiency hypothesis, we argue that behavioural theory may be a possible “story” to interpret the continuation effect. 相似文献
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We determine the industry-level supply-chain predictability in the Chinese stock market. Evidence is provided that a limited information model is gradually adaptive to the Chinese stock market in recent years, while several traditional measures of informed trading perform differently in the previous period. An innovative indicator of the mobile ratio volatility is also proposed here, which relates the increasing mobile trading behavior to this cross-sectional predictability. Furthermore, we explain the asymmetry of customer and supplier momentum in this market. 相似文献
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The Predictability of Short-Horizon Stock Returns 总被引：1，自引：0，他引：1
This examines the predictability of short-horizon stock returnsin the UK. We show that the subsequent return reversal of previousextreme performers is unlikely to be caused by either lead-lageffects or inventory imbalances, the most likely explanationbeing market overreaction. A market or trading based explanationis reinforced by the finding that these return reversals areasymmetric, being less significant after bad news. Further,we find that the lower transacting stocks exhibit the strongerreturn reversals, in direct contrast to both the existing USevidence and the implication that liquidity effects can explainthe return reversals. JEL Classification: G10, G11, G12 相似文献
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Bryan Mase 《European Finance Review》1999,3(2):161-173
This examines the predictability of short-horizonstock returns in the UK. We show that the subsequentreturn reversal of previous extreme performers isunlikely to be caused by either lead-lag effects orinventory imbalances, the most likely explanationbeing market overreaction. A market or trading basedexplanation is reinforced by the finding that thesereturn reversals are asymmetric, being lesssignificant after bad news. Further, we find that thelower transacting stocks exhibit the stronger returnreversals, in direct contrast to both the existing USevidence and the implication that liquidity effectscan explain the return reversals. 相似文献
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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. 相似文献
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By analyzing how stock prices respond to public news, this paper examines the momentum effect in the Korean stock market. It is true that, as a whole, the momentum strategy generates no profits in Korea. However, among the stocks in a momentum portfolio, loser stocks with news headlines make significantly positive profits caused by negative return drift. These positive profits are cancelled out by negative returns, due mostly to reversals exhibited by winner stocks with and without public news. These reversals stand in contrast to the case of the United States market, where winner stocks show weak drift (Chan, 2003). Reversals of news winners and the drift of news losers in Korea imply that stock prices react asymmetrically to public news, which is overlooked in existing studies on momentum. Further analyses indicate that this asymmetric reaction can be attributed to transaction costs rather than to the incentive of managers to disclose bad news slowly. In addition to the asymmetric reaction of prices to news, we suggest that market misperceptions concerning firms' future prospects may also be a reason for the post‐news return patterns in Korea. 相似文献
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This study examines the variation in aggregate short‐selling by foreigners, individuals, and institutional investors in relation to market return and other market‐wide variables in the Korean stock market. First, we find that aggregate short‐selling has strong seasonal components. In contrast to the existing literature, which shows contrarian‐style short‐selling at the stock level, we find momentum‐style short‐selling by foreigners and individual investors at the aggregate level. That is, they significantly increase their short‐selling following a short‐term down market. In addition, we show that past US market return is negatively related to aggregate short‐selling by foreign investors. Vector‐autoregression and impulse‐response analyses reveal that aggregate short‐selling is significantly affected by changes in market return, but not vice versa. 相似文献