动量和反转投资策略在我国股市中的实证分析

本文采用沪深两市1995年前上市的股票作为样本,发现我国股市中也存在明显的动量和反转盈利,且两种效应的强弱与大盘走势相关,当市场为牛市特征时,动量效应明显强于反转效应;当市场为熊市特征时,则反之.经典的CAPM模型无法解释动量和反转盈利的来源,检验表明投资者对不同类型信息的不同反应方式,可以很好解释我国股市中的动量和反转盈利,利用上述检验结果还可以解释我国股市中许多有趣的特征.     

中国政策市的行为思考

本文回顾了中国股市十多年来的政策干预历史,并总结了其中的规律所在:1997年前,政府干预呈现反转模式;1997年后,政府干预呈现趋势模式。文章对该规律的形成给出了行为解释,并据此提出了相关投资建议和政策建议。     

股市中的过度反应与反应不足

过度反应与反应不足是股市投资中的两个异常行为,本文认为除了“输家——赢家效应”、“市盈率异常”以外,“井喷现象”也是过度反应的典型表现;反应不足则主要表现为“魅力股”或“价值股”等。过度反应与反应不足产生的主要原因是投资者存在过度自信、自我归因及保守性偏差等,常见的对策是反转策略和动量策略,本文分析了运用反转策略和动量策略的时机选择,以使其更具可操作性。     

Media,sentiment and market performance in the long run

This paper investigates the impact of media pessimism on financial market returns and volatility in the long run. We hypothesize that media sentiment translates into investor sentiment. Based on the underreaction and overreaction hypotheses [Barberis, N., A. Shleifer, and R. Vishny. 1998. “A Model of Investor Sentiment.” Journal of Empirical Economics 49 (3): 307–343], we suggest that media pessimism has an effect on market performance after a lag of several months. We construct a monthly media pessimism indicator by taking the ratio of the number of newspaper articles that contain predetermined negative words to the number of newspaper articles that contain predetermined positive words in the headline and in the lead paragraph. Our results indicate that media pessimism is associated with negative (positive) market returns 14–17 (24–25) months in advance and positive market volatilities 1–20 months in advance. Our results are statistically and economically significant. We find evidence for Granger causality of media pessimism on market performance. Our media pessimism indicator possesses additional predictive power for the Baker and Wurgler [2006. “Investor Sentiment and the Cross-section of Stock Returns.” Journal of Finance 61 (4): 1645–1680] investor sentiment index and the Chicago Board Options Exchange Market Volatility Index.     

投资者情绪、异质性与市场非理性反应

许多研究表明,我国证券市场反向策略在短期内获利性较为显著,而动量策略在长期内可以获得超额收益,即中国股市具有短期反应过度和长期反应不足的双重特征。这一现象不仅动摇了有效市场假说的理论基础,而且对现有的行为定价理论模型构成了强有力的挑战。本文尝试从投资者情绪和投资者异质性两个角度对这一异象进行解释。研究发现,在投资者情绪高涨(或低落)阶段,市场更容易反应过度(或反应不足);对于不同类型的投资者,他们的信息反应模式也不尽相同,各自主导了市场在短期内和在长期内的整体表现。这一发现为中国股市在市场非理性反应上所呈现的独有特征提供了很好的阐释。     

审计质量与盈余公告效应

从行为金融的角度出发,以投资者过度反应和反应不足为理论基础,采用沪市A股2005-2009年间的数据对审计质量和盈余公告效应二者关系进行了检验。结果发现,审计质量能够加剧盈余公告效应幅度,它既能加剧"好消息"公司股价的向上漂移,也能够加剧"坏消息"公司股价的向下漂移。     

Trading volume,return variability and short-term momentum

We propose short-term averages of daily stock-level trading volume and return variability as proxies for latent corporate news flow. Conditioning momentum strategies on these two proxies give a significant boost to winner-minus-loser alphas. Regardless of the portfolio formation and holding periods, price drift is larger after elevated levels of volume and variability, supporting the view that prices underreact to news. This pattern is not driven by micro-cap stocks and it is robust to corrections for systematic risk factors and stock characteristics such as liquidity and credit quality.     

Market Underreaction to Free Cash Flows from IPOs

I examine the relation between initial public offering (IPO) long‐run stock performance and the amount of cash raised by the firm in the offering. I find that IPOs raising more cash have poorer long‐run performance. The result is robust to different measurement methods. The evidence suggests that the market underreacts to free cash flow related agency problems in IPOs. Consistent with this interpretation, I find that IPO long‐run performance is more sensitive to the new cash raised in the offering if an IPO firm has lower capital expenditure or higher opening bid‐ask spread.     

The Profitability of Momentum Investing

We test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub-sample. An analysis of sub-period results, seasonal effects, and the persistence of momentum profits confirms the robustness of the results. Controlling for factors known to be associated with differences in average returns, such as size, stock price, book-to-market ratio, and cash earnings-to-price ratio, cannot explain momentum profits. We also confirm that serial correlation in common factors and delayed price reaction to common factor realisations cannot explain momentum profits. We conclude that the momentum effect derives from market underreaction to either industry- or firm-specific information and it is a significant, independent phenomenon in UK stock returns.