动量和反转投资策略在我国股市中的实证分析  

Momentum and Contrarian Strategies in the Chinese Stock Markets

作　　者：程兵[1] 梁衡义[2] 肖宇谷[2] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100080 [2]中国科学院金融风险与金融工程研究中心,北京100080

出　　处：《财经问题研究》2004年第8期29-35,共7页Research On Financial and Economic Issues

摘　　要：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。This paper investigate the presence of abnormal returns through the use of trading strategies that exploit the predictability of short and medium run stock price movements. Using sample stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange from 1995 to 2003, we find that both momentum and contrarian profits can be observed.Additionally, the balance between the momentum and contrarian effect is correlative with market condition, momentum effect is stronger in the bullish market, and contrarian effect is stronger in bearish market. Our result show that profits from the trading strategies cannot be accounted for by a simple adjustment for beta - risk, investors' different reaction to firm specific information and common factor is an good explaining factor for the source of momentum and contrarian profits and some interesting characteristics of china stock markets.

关 键 词：动量和反转策略 行为金融 反应不力和过度 领先-滞后关系 

分 类 号：F83[经济管理—金融学]