卖空约束下动量策略在牛市中的盈利性分析

众多实证研究发现,通过持有赢者组合多头和输者组合空头的动量套利策略可以获取显著的超额收益。考虑到我国A股市场卖空约束,选取沪深300样本股和中小板股票设置不同的对照组和投资期限,采用假设检验方法分析了2005年股改以来两次牛市行情中单一赢者组合及输者组合多头策略的盈利性特征,并检验了A股市场中是否存在动量套利交易的盈利模式。实证显示,即使不考虑交易成本,两种多头策略也都很难有显著的高于样本总体的收益率。

Profitability of Momentum Trading Strategy in Bull Market Under Short-selling Constraint

A great body of empirical research show that a momentum arbitrage strategy of holding simultaneously winning and losing portfolios can get a significant excess return. Considering the short-sale constraints in China''s A-share market, we utilize CSI 300 and SME Board to examine whether such a momentum arbitrage strategy is still efficient. By setting different comparing groups and investment periods, we analyze the return properties of long position strategies for winning and losing portfolios since the 2005 stock reform. The empirical results suggest that neither of the long position strategies are significantly better than sample population.