基于残差收益的动量或反转效应：来自中国A股市场的经验证据  

Momentum or Reversal Based on Residual Returns:Empirical Evidence from Chinese A-share Stock Market

作　　者：宁欣[1] 王志强[2,3] 

机构地区：[1]东北财经大学研究生院 [2]东北财经大学应用金融研究中心 [3]东北财经大学杂志社

出　　处：《投资研究》2012年第12期123-136,共14页Review of Investment Studies

摘　　要：因不能有效反映股票盈利的相对强弱,基于总收益排序的动量或反转组合,通常包含大量高Be-ta值和小市值股票,承担着较大风险。为此,本文采用风险调整后的收益评价,即基于残差收益排序,考察中国A股市场月度数据的动量或反转效应,结果发现:在全样本阶段存在显著的残差反转效应,不存在残差动量效应,这在股权分置改革之后更明显;相对于总收益反转组合,残差反转组合不仅具有更高的显著收益和Sharpe比率,还具有较小的系统风险,并受公司规模因素影响较小。Because the portfolio can not reflect the relative strength of stock returns effectively, momentum or reversal portfolio based on total returns are comprised of stocks that can be characterized as high beta, small cap. Therefore they are taken big- ger risk. As a consequence, by using the risk adjusted returns evaluation, this paper studies momentum or reversal based on re- sidual returns in China＇ s A-share stock market by using monthly stock returns. This paper finds evidence of significant residu- al reversal, no evidence of residual momentum. The residual reversal is more obvious after the non-tradable shares reform. Compared to total returns reversal portfolio, residual reversal portfolio has higher and more significant returns, higher Sharpe ratio and lower systemic risk. It is less affected by firm size.

关 键 词：残差动量 反转策略 总收益动量 反转策略 Fama-French三因素模型 

分 类 号：F224[经济管理—国民经济] F832.51