反转策略在中国A股市场的适用性分析

选取A股市场1999年至2008年的非金融股票数据,建立一维排序模型,分别持有1年、2年和3年,计算了价值股组合和绩优股组合的持有期收益率。实证结果表明:运用反转投资策略能够获取超额收益,B/M、C/P和E/P策略在大多数年份适用于我国市场,能够取得超额收益,而GS策略则完全不适用于中国市场。

Study on Applicability of Contrarian Investment Strategy in China's A Share Market

This paper selected the non -financial stock data from 1999 to 2008 of China's A share market, and hold the portfolio 1 year, 2 years and3 years respectively to calculate the returns of Value portfolio and Glamour portfolio according to one - dimensional model. The empirical results shows that the contrarian strategy could make excess returns, that is, B/M, C/P and E/P strategy were able to achieve excess returns in most years for the China's A Share market. But the GS strategy was entirely inapplicable to Chinese market.