引入盈余动量和营收动量的增强型价格反转策略分析  

Analysis of Enhanced Price Reversal Strategy Based on Earnings Momentum and Revenue Momentum

作　　者：齐玉录 王志强[2] 

机构地区：[1]东北财经大学研究生院 [2]东北财经大学金融学院

出　　处：《投资研究》2015年第3期92-106,共15页Review of Investment Studies

基　　金：辽宁省教育厅人文社会科学重点研究基地专项项目"中国股市的波动率效应与低波动率策略研究"(ZJ2013038)的资助

摘　　要：中国股市中价格反转策略有利可图已经得到很多经验证据的支持,但是如何提高价格反转策略绩效的研究却相对不足。本文在分别检验价格反转效应、盈余动量效应和营收动量效应存在性的基础上,尝试将盈余动量和营收动量引入价格反转策略之中,以提高价格反转策略的绩效。我们的经验结果显示,引入盈余动量和营收动量能够显著地提高价格反转策略的绩效;基于Fama-French三因素模型,单独引入盈余动量和营收动量的增强型价格反转策略的超额收益a值分别提高约66%和81%,同时引入盈余动量和营收动量的增强型价格反转策略的超额收益α值提高约126%。Price reversal strategy is profitable in Chinese stock market and this has been supported by many empirical evidences. But studies on how to improve the performance of price reversal strategy are relatively rare. In this paper,basing on the test on the existence of price reversal effect, earnings momentum effect and revenue momentum effect,we try to introduce earnings momentum and revenue momentum into the price reversal strategy to improve the performance of the latter. Our empirical results show that earnings momentum and revenue momentum can significantly improve the performance of price reversal strategy. On the basis of Fama-French three-factor model,the risk-adjusted returns alpha of the enhanced price reversal strategy are increased by 66% and 81% when separately introducing earnings momentum and revenue momentum. While the risk-adjusted returns alpha is increased by 126% when simultaneously.

关 键 词：价格反转 盈余动量 营收动量 FAMA-FRENCH三因素模型 

分 类 号：F832.51[经济管理—金融学] F224