价值与动量混合策略DEA多期限资产组合选择及效率评价  

The Selection and Evaluation of Asset Portfolios Over Multi Horizons by DEA Combing Value and Momentum Strategies

作　　者：杨宏林[1] 崔晨 查勇[2] 陈收[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国管理科学》2015年第6期57-64,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71073049;71031004;71221001;71210107022);新世纪优秀人才支持计划资助(NCET-13-0193);教育部人文社会科学研究规划基金资助项目(14YJA630077)

摘　　要：运用DEA融合有效价值与有效动量指标,构造多期限价值与动量混合策略资产组合,在期望收益率与风险调整收益率条件下评价其相对有效性。基于沪深300成分股的实证发现,DEA高效率值股票组合持有期期望收益率显著高于沪深300组合,且期望收益率与风险调整收益率均高于单一价值股票组合和赢者股票组合;在此基础上,构造同时持有DEA高效率值股票组合多头与DEA低效率值股票组合空头的套利交易策略,在相对较长的持有期上能给投资者带来显著的超额收益率。The methods of DEA are used to integrate effective value and momentum indicators in this pa- per. By such a integration, new asset portfolios are constructed. And using the expected return （ER） and risk-adjusted return （RAR） evaluates their efficiencies relative to traditional portfolios. The investigations for CSI 300 show that the portfolios consisting of high DEA performance stocks are significantly higher than CSI 300 portfolio. And their values of ER and RAR also exceed those portfolios from single value and winner strategies. Meantime, the hedge trade strategy, which simultaneously holds the long position of high DEA performance portfolios and the short position of low DEA performance portfolios,is designed to bring investors obviously excess returns over relatively long horizons.

关 键 词：多投资期限 DEA 价值投资策略 动量投资策略 投资组合效率 

分 类 号：F830.91[经济管理—金融学]