中国股票市场惯性和反转投资策略实证研究  

Empirical studies of momentum and contrarian strategies in the Chinese stock market

作　　者：杨炘[1] 陈展辉[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《清华大学学报（自然科学版）》2004年第6期758-761,共4页Journal of Tsinghua University(Science and Technology)

摘　　要：基于 1992— 2 0 0 1年的沪深 A股市场的全样本数据 ,采用 Jegadeesh N和 Titman S(2 0 0 1年 )方法 ,研究中国股市惯性和反转投资策略。结果表明 ,在中国 A股市场基本不存在惯性现象 ,而存在显著的反转现象。过去 1～ 12个月的赢家或者输家在未来的表现并没有显著差异 ,“追涨杀跌”的投资策略并不能获利。而过去 30～ 4 2个月的输家的月平均收益率高达 3.8%～ 4 .4 % ,显著高于过去的赢家 2 .1%以上 ,高于无风险利率 3.5 4 % ,高于市场组合 1.89% ,在未来 36个月累计收益率高达 136 .7%。过去的输家组合的 β因子和流通市值均处于中上水平 ,并没有太大的风险。The momentum and contrarian effects of the China A shares market in Shanghai and Shenzhen were investigated using various investment strategies suggested by Jegadeesh and Titman (2001) based on sample data from 1992 to 2001. The empirical findings confirmed the significant contrarian effect and rejected the momentum effect. The losers in the preceding 30~42 months outperformed past winners by over 2.1% per month in the following 1~2 years. Long positions in the past losers gained 3.8%~4.4% per month, which is above the risk free rate of 3.54% and the market return of 1.89%, in the subsequent 36 months accumulative return rate is 136.7%. Moreover, the past losers did not take more risk than other portfolios. The past losers β factors and circulating market value are middle level. The results suggest a feasible investment strategy, especially for institutional investors.

关 键 词：投资 市场效率 惯性策略 反转策略 股票市场 

分 类 号：F830.59[经济管理—金融学] F830.91