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.     

Detailed study of a moving average trading rule

We present a detailed study of the performance of a trading rule that uses moving averages of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our study reports short-, medium- and long-term effects by looking at the Sharpe ratio (SR). We calculate the Sharpe ratio of our trading rule as a function of the probability distribution function of the underlying traded asset and compare it with data. We show that if the performance is mainly due to presence of autocorrelation in the returns of the traded assets, the SR as a function of the portfolio formation period (look-back) is very different from performance due to the drift (average return). The SR shows that for look-back periods of a few months the investor is more likely to tap into autocorrelation. However, for look-back larger than few months, the drift of the asset becomes progressively more important. Finally, our empirical work reports a new long-term effect, namely oscillation of the SR and proposes a non-stationary model to account for such oscillations.     

Predictability of future index returns based on the 52-week high strategy

In a landmark paper, George and Hwang (2004) show that a stock's 52-week high price largely explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do momentum strategies. We find that the 52-week high strategy is unprofitable when applied to emerging markets indices, and that it is significantly less profitable than the corresponding momentum strategy. Overall the 52-week high effect is not as pervasive as the momentum effect.     

S&P Global Sector survivals: Momentum effects in sector indices underlying iShares

This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy based on momentum survival time for 10 S&P Global 1200 Sectors and show that for most of the sectors, long, short and long/short momentum strategies are profitable at the realistic level of transaction costs, generating substantially higher Sharpe ratios than buy and hold sector index strategy.     

Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns

This paper analyzes the performance persistence of US-based emerging-market mutual funds. We use a sample of 275 actively managed funds between July 1989 and December 2020 and regress their returns on emerging-market benchmark portfolios. On average, the funds had a significant negative alpha. Contrary to some earlier evidence, we document that the short-term consistency is entirely driven by losses of underperforming funds. The return spread between the short-term winners and losers generates a significant positive alpha that can be fully explained by the momentum in emerging-market stocks. We find no evidence of any long-term regularities. Our findings show that the observed funds exhibit very similar behavior to their developed-market counterparts and may contribute to resolving some inconsistencies in the earlier results.     

The evolvement of momentum effects in China: Evidence from functional data analysis

Using an approach based on functional data analysis, we address the controversy that momentum or reversal effect disputes exist in China’s A-shares markets. It finds patterns of nonlinear cross-sectional variation and the dynamic change of average stock returns over time. After the global financial crisis of 2008, our empirical results show that momentum effects in the middle term went away and reversal effects took over. We also find substantial reversal effects for the short- (1-6 months) and long-term (3 years), respectively, but no evidence of permanent momentum effects in China.     

Re-examining differences between momentum and time series momentum among individual stocks

In this paper, we provide a comprehensive comparison of momentum (CSMOM) and time series momentum (TSMOM) among individual stocks in the US stock market from January 1964 to December 2015 and find that the two are distinct among individual stocks. With zero-cost strategies on both of them, we find that the explanations in Goyal and Jegadeesh (2018) cannot fully explain the differences between the performances of CSMOM strategies and TSMOM strategies.     

区域科技金融生态系统共生与进化实证研究

基于生态学理论和金融共生理论,分析区域科技金融生态系统内生态种群共生关系及共生效应,以2010—2018年中国（内地）31个省域为研究对象,运用共生度测度模型和融合速度特征的共生进化动量模型,测度区域科技金融生态系统共生水平与共生进化动量。实证结果表明,东部地区在考察期内科技金融生态系统的共生度较高,但其共生进化呈疲软甚至恶化态势。相较而言,虽然中西部地区在考察期内科技金融生态系统共生度较低,但其共生进化呈良性上升态势。据此,提出强化区域科技金融生态系统共生与共生进化动量的对策建议。     

改革开放以来中国经济增长动力转换的时空特征

基于中国1978~2012年的省级面板数据,采用检验后的超越对数生产函数的随机前沿模型,利用两套资本存量核算方法,对中国经济增长动力的来源及其时空特征进行分析,并对2008年金融危机的4万亿元投资政策进行了效率评价。研究结果表明,中国属于典型的投资主导型经济,资本投入是中国经济增长持续稳定的最主要来源,TFP贡献率呈现逐年下降的趋势;中国经济增长动力由改革开放初期的资本、劳动力和TFP三驾马车平衡拉动,形成了现阶段的资本投入与TFP反向角力态势;区域经济差距主要源于资本投入与TFP双重差异,但TFP差异是最重要因素;4万亿元经济刺激政策下中国经济复苏属于典型的“投资主导型复苏”,是以牺牲中国生产率为代价的,TFP在2008年后呈现断崖式下降,平均拉低中国TFP达0.23~0.32个百分点。     

Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets

We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within a lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36 double-sort criteria across three holding period lengths in the non-microcap universe of U.S. stocks over the 55-year sample period, MRRO is particularly useful for annual holding periods, towards the end of whom the conventional return-momentum indicators tend to lose their prediction power. Based on the return-based style analysis, MRRO adds some favorable style-diversification characteristics into long-only momentum portfolio selection.