基于残差收益的动量或反转效应:来自中国A股市场的经验证据

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。     

对小公司效应、价值股效应、动量效应以及反转效应的实证研究——基于三因子模型

本文分析了行为金融学中小公司效应、价值股效应、动量效应以及反转效应对于中国股票市场的影响,以A股市场2000-2018年数据为研究样本,基于Fama-French三因子模型,探究结合行为金融因素的多因子模型能否较好地拟合股市。研究发现,A股市场不同板块对于各个因子的偏好与权重不同,而单一股票也很难通过多因子去很好地解释超额收益,而本文希望通过实证分析来展示非理性因素对于金融市场的影响。     

反转和动量效应的国外研究动态及展望

在对国外现有相关研究系统分析的基础上,指出了现有研究在对反转和动量效应的识别方法、成因解释和投资应用上的缺陷,并结合证券市场普遍存在分形特征的现实情况,从引入分形理论的视角对上述缺陷的解决方案进行了展望,以期为学术界和实务界提供参考。     

基于分形市场理论的动量生命周期研究

动量生命周期广泛存在于证券市场,但为何存在动量生命周期却鲜为人知。基于此,考虑到证券市场存在分形特征的现实背景,以分形市场理论为基础,通过构建博弈模型,对动量和反转效应相互转换进行了理论和仿真分析。结果表明,分形市场理论能够有效地对动量生命周期给予解释。     

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。     

中国A股市场动量效应与“动量崩盘”现象研究

动量效应作为一种金融异象,广泛存在于各个市场。然而在丰厚收益的背后却存在着巨大的风险,学术界称之为"动量崩盘"。本文在确定中国A股证券市场动量效应的基础上,进一步研究了动量组合的风险性质。结果表明:A股市场存在周度的动量效应;且该周度效应无法被CAPM和Fama-French三因子模型所解释;A股的周度动量效应没有出现普遍存在于其他动量市场的"动量崩盘"现象,表明在A股市场实施动量策略,不仅收益比美国市场更丰厚,而且风险更小;而动量组合在牛熊市中不对称的收益表现,使得动量收益可以和股票期权一样被市场预计波动率所解释。     

银行债权的公司治理效应研究——基于中小板上市公司的实证分析

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。     

前期高价动量策略在我国中小板市场的有效性研究

本文验证了前期高价动量策略在我国中小板股票市场的有效性,发现仅形成期为1个月的动量策略在接下来3—6个月内可获得显著的超额收益率;当形成期为3个月或6个月时,持有期为1个月的动量策略发生了巨大的亏损。在考虑了市场趋势的情况下,发现获得显著收益的动量组合会在牛市中放大这一收益,而发生显著亏损的动量组合会在熊市中放大这一亏损。     

深圳市中小板上市公司收益状况的实证分析——基于利润表的经验数据

伴随着深交所中小板的发展,深圳市中小板上市公司取得了显著成绩。本文以深圳市41家中小板上市公司为研究对象,从总体差异和行业差异的角度对41家样本公司2005～2010年的收益状况进行了统计、对比分析,并就其客观存在的问题提出了对策建议,以使深圳市中小板上市公司平稳、快速地发展。     

Momentum and Foreign Investors: Evidence from the Korean Stock Market

Abstract:

We examine whether the price impact of foreign investors on the Korean stock market from December 2000 to February 2007 generated a momentum phenomenon. In our empirical results, foreigners seem to have exerted a significantly positive impact on prices in “up” markets (periods of positive stock returns), but have had little impact on prices in “down” markets (periods of negative returns). We document that the impact of foreigners’ trades is concentrated in large companies. Most importantly, when the market is in the up state, the returns of stocks of large companies that were positively affected by foreign investors in the previous six-month period continue to increase in the subsequent six-month period. As a result, the subsequent six-month return on a past “winner” stock portfolio is significantly higher than that on a past “loser” stock portfolio. This brings to mind a momentum phenomenon that has been reported not to exist in the Korean stock market.     

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.     

Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market

This paper investigates effectiveness of momentum strategies in the Japanese stock market during the period of 1975 to 1997. The main findings of this research are that momentum strategy portfolios which invest in past three-to-twelve month winners and sell past three-to-twelve month losers lose about 0.5% per month over the subsequent three to twelve months. This means that stock prices in the Japanese stock market reverse rather than continue over a medium-term horizon. The most significant reversal pattern is observed at the first month of portfolio formation and is unique to small stocks. Even with the market risk and size factor controlled, the price reversal is still present.     

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。     

股指期货与现货市场的关系研究

本文从市场结构、交易执行效率和市场信息传播三个方面，由浅入深地展开了期现货市场关系的梳理和分析。股指期货市场的出现，一是使得原本现货市场单轨运行的市场结构变为了期现货市场双轨运行的新结构，增加了市场稳定性；二是依托期货交易方式的独特机制，大大提高了交易执行效率；三是期货价格也因此包含了更多内容，促进了市场信息的传播与扩散。同时，股指期货的独特设计使得其非常适合在危机条件下充分发挥功能，是一个重要的风险管理工具，已经成为现代资本市场的重要组成部分和基础性的内在稳定机制。     

The Structure of the Japanese Stock Market

The Japanese stock market is characterized by two prominent features. First, stock prices have been extremely volatile over the past ten years. Second, the market is dominated by cross-shareholdings and stagnant individual stock ownership. So, there are two purposes on this paper. The first is to assess the effects of stock cross-holdings on the stock market. The second is to look at recent stock price fluctuations, in the bubble period before 1990 and during the subsequent collapse. It will be recognized that these two features are interrelated.     

关于建立融券卖空机制对股市影响的分析

通过对股价涨跌、波动幅度和成交量的对比分析,可以发现融券卖空机制的引入有利于完善证券市场的价格发现机制,增强证券公司的盈利能力,丰富投资者的投资选择。在进一步增强证券的可融性,降低中国股市的系统性风险和控制监管漏洞与异常交易的基础上,中国股市建立融券卖空机制的现实条件已基本具备。     

石油价格与股票市场的溢出效应——基于中美数据的比较分析

本文以中美股票市场和国际原油市场的数据为样本,用VAR模型和二元GARCH模型研究了中美股市价格和国际石油价格的收益率及波动的溢出效应。研究结果表明,中国股市价格和国际石油价格之间,既不存在任何方向的收益率溢出效应,也不存在任何方向的波动溢出效应;而国际石油价格的变化率对于美国股市收益率确有负向先导作用,并且两者之间具有双向的波动溢出。     

Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.