澳洲经济背景下的三大货币指数比较研究

本文在模拟澳州经济背景下。通过对迪维西亚指数、费雪理想指数以及动量货币指数的比较分析发现：三者在自身稳定性方面并无特别差异．但从宏观经济预测效果判断,动量货币由于兼得数量和速度双重因子,其总体表现要优于其他两者。这一结论具有重要的理论和现实意义,既为货币交易速度复归提供了有力的理论支撑,也为货币政策中介目标的选择提供了新的参考样本。     

Trend following with momentum versus moving averages: a tale of differences

Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our paper fills this gap by comparing and contrasting the two most popular trend-following rules, the momentum (MOM) and moving average (MA) rules, from a theoretical perspective. We provide theoretical results on the similarity between different trend-following rules and the forecast accuracy of trading rules. Our results show that the similarity between the MOM and MA rules is high and increases with the strength of the trend. However, compared to the MOM rule, the MA rules exhibit more robust forecast accuracy for the future direction of price trends. In this paper, we also develop a hypothesis about uncertain market dynamics. We show that this hypothesis, coupled with our analytical results, has far-reaching practical implications and can explain a number of empirical observations. Among other things, our hypothesis explains why the empirical performance of the MA rules is better than that of the MOM rule. We broaden the appeal and practical importance of our theoretical results by offering various illustrations and real-world examples.     

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.     

Stock returns after major price shocks: The impact of information

This paper focuses on stocks that experience major price changes. Using analyst reports as a proxy, I find that price events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of these results is that investors underreact to news about fundamentals and overreact to other shocks that move stock prices. Consistent with this hypothesis, information-based price changes are more strongly correlated with future earnings surprises than no-information ones. Furthermore, drift exists only when the direction of the price move and of the change in analyst recommendations have the same sign. Finally, the ratio of no-information to information-based price shocks is strongly correlated with aggregate implied volatility and also forecasts momentum returns.     

中国股市的惯性与反转效应研究

由于中国股市具有政策市的特征,本文在Hong和Stein(1999)模型的基础上,研究政策市背景下的中国股市的惯性与反转效应。我们的主要结果有:中国股市的反转效应相对于惯性效应要更明显一些,并且除了中期惯性与长期反转外,还存在一个超短期的惯性与短期的反转;同时,小公司股票相对大公司股票,惯性运动的趋势较弱,更容易发生反转,成交量大的股票相对于成交量小的股票,惯性运动的趋势较弱,更容易发生反转。最后通过实证分析,在中国股票市场对上述结果进行了检验,实证结果支持了我们的结论。     

Profitability of technical stock trading: Has it moved from daily to intraday data?

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However, when based on 30-minutes-data the same models produce an average gross return of 7.2% per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes-data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming recently more efficient or to stock price trends shifting from 30-minutes-prices to prices of higher frequencies.     

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.     

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.