中国股市中惯性与反向投资策略的获利模式  

Investment performance of momentum strategies and contrarian strategies in China stock market

作　　者：沈可挺[1] 刘煜辉[2] 

机构地区：[1]浙江工商大学经济学院,杭州310035 [2]中国社会科学院金融研究所,北京100732

出　　处：《管理科学学报》2006年第6期43-52,共10页Journal of Management Sciences in China

基　　金：浙江省社会科学基金资助项目;浙江工商大学引进人才科研启动基金资助项目(X06-48)

摘　　要：讨论了中国股市中执行惯性策略或反向策略的获利模式及其与市场状况及个股特征因素的关系.整体而言,半年期内执行惯性策略较为成功,而半年期以上则反向策略获利性显著.此外若加入考虑其他在形成期的市场状况及个股特征因素,赢家-输家策略则是更为明确,且更为显著的获利模式.This paper mainly investigates whether the momentum strategies and contrarian strategies can create significant profits under different formation horizons and holding horizons, whether past factors （such as market return, characteristic of individual stock） can provide an important implication about the profits of momentum and contrarian strategies. As a whole, we find the momentum strategies less than 24 weeks are more. successful , the contrarian strategies beyond 24 weeks can earn significant profits in China stock market. We also find, considering market factor （market return, cross-sectional variance of equity returns） and characteristic of individual stock （trading volume, firm size, price/earnings, BE/ME）, there exist clearer and more significant modes of profitability in momentum or contrarian strategies.

关 键 词：惯性策略 反向策略 均值回复 

分 类 号：F830.91[经济管理—金融学]