动量策略、反转策略及其收益率的高阶矩风险  

The Higher Moment Risk of Returns from Momentum and Contrarian Trading Strategies

作　　者：方立兵[1] 曾勇[1] 郭炳伸 

机构地区：[1]电子科技大学经济与管理学院,四川成都610054 [2]台湾政治大学国际贸易学系,台湾11605

出　　处：《系统工程》2011年第2期9-20,共12页Systems Engineering

基　　金：四川省国际科技合作项目(2008HH0014)

摘　　要：鉴于股市收益率常常表现出非对称性和"尖峰""厚尾"等系统性的高阶矩特征,本文在"均值-方差"CAPM和三因素模型等经典模型的基础上加入高阶矩风险,考查动量策略和反转策略的收益率是否可以进一步被高阶矩风险所解释。以中国沪深股市1998年1月至2009年11月所有A股的月度收益为样本,研究发现:(1)加入高阶矩风险能显著改进经典模型对两种策略下输家和零投资组合以及部分赢家组合收益率的解释力;(2)动量效应并不显著而反转效应显著存在;(3)经典模型不能解释的动量策略输家组合的超额收益可以由高阶矩风险所解释;(4)反转策略下输家组合比该策略下的赢家组合具有相对较高的因素风险和高阶矩风险。The present paper examines whether the risk premium of higher order moments can further explain the returns from momentum and contrarian trading after adding these variables to the classical asset pricing models,such as ＂mean-variance＂ CAPM and three-factor-model since the stylized fact of asymmetry,leptokurtosis and heavy tails exhibited in returns of stock market.Our dataset is sampled from the monthly returns of all A shares listed in Shanghai and Shenzhen stock market during the period of January 1998 to November 2009.The empirical results show that：（1） classical asset pricing models can be significantly improved to explain the returns of the portfolio constructed by the losers,the zero-portfolio and part of the ones by winners under the two trading strategies;（2） the contrarian effect is significant but not the momentum;（3） the abnormal return of portfolio constructed by losers under the momentum strategy from the classical asset pricing models can be explained by higher order moment risk premium;（4） compared with the portfolios of winners,the losers under the contrarian strategy averagely exhibit higher risk from the factors in three-factor-model and the higher order moments.

关 键 词：资产定价 高阶矩风险 动量策略 反转策略 

分 类 号：F830[经济管理—金融学]