| 考虑交易成本的中小板块动量效应研究 |
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| 引用本文： | 权延,徐强.考虑交易成本的中小板块动量效应研究[J].价值工程,2011,30(16):153-154. |
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| 作者姓名： | 权延 徐强 |
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| 作者单位： | 南京航空航天大学经济与管理学院,南京,211100 |
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| 摘 要： | 本文根据中国股票市场交易的相关规定,构造出动量效应的成本因子,然后根据构造出的动量效应成本因子对零成本条件下动量策略持有期的累积超额收益进行调整,检验在考虑成本因素以后,中小板市场中的动量效应是否依然存在。
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| 关 键 词： | 动量效应 交易成本 成本因子 |
Momentum of Small and Medium Plate Considering the Transaction Costs |
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| Quan Yan,Xu Qiang.Momentum of Small and Medium Plate Considering the Transaction Costs[J].Value Engineering,2011,30(16):153-154. |
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| Authors: | Quan Yan Xu Qiang |
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| Institution: | Quan Yan Xu Qiang(School of Economics and Management,Nanjing University of Aeronautics and Astronautics,Nanjing 211100,China) |
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| Abstract: | According to the regulation of the Chinese stock market,the trading cost factor of momentum is constructed to adjust the zero cost momentum strategies.Then we will check whether the momentum is still existing,after the strategies being adjusted by the trading cost of momentum. |
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| Keywords: | momentum trading cost trading cost factor |
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