动量策略收益主要来源于隔夜？--基于沪市A股动量策略收益分解的探讨  

Does Momentum Returns Mainly Come from Overnight Returns?—— An Empirical Study about Decomposition of Momentum Returns

作　　者：刘清源[1] 魏先华[1] 王霦[1] 

机构地区：[1]中国科学院大学经济与管理学院

出　　处：《投资研究》2016年第3期92-104,共13页Review of Investment Studies

摘　　要：本文以沪市市场动量策略收益作为出发点,通过对动量收益进行隔夜和日内的分解,发现隔夜收益是沪市市场动量策略收益的主要来源,而日内反转则是沪市整体反转特征的"推动者"。通过FF三因子在隔夜和日内时段的分解,以及异质投资者对动量策略倾向性差异的分析,我们证明风险补偿理论和投资者异质性是解释沪市"隔夜动量、日内反转"现象的重要来源。中小投资者需警惕机构投资者带来的日内反转效应,以防承受超过10%的年化动量损失。This study focuses on the returns of momentum strategy of the A-share stocks in Shanghai Securities Exchange（SSE）by decomposing the returns to overnight and intraday parts. We find that the SSE A-share Market has significant characteristics of price reversal, and this is mainly due to intraday returns; on the contrast, the overnight returns contribute all positive returns under momentum strategy. We prove that the risk compensation and investor heterogeneity are two important sources for explaining the decomposed momentum characteristics through decomposing the Fama-French factors to overnight and intraday parts as well and analyze the different attitudes to momentum strategy of different investors. We propose that small and median investors must be careful about the intraday reversal from institutional investors, and stay away from suffering more than 10%loss annually.

关 键 词：隔夜收益 日内反转 风险补偿 投资者异质性 

分 类 号：F832.51[经济管理—金融学] F224