| 中国股票市场个股动量的分解与实证 |
| |
| 引用本文： | 邓自飞.中国股票市场个股动量的分解与实证[J].吉首大学学报(自然科学版),2005,26(1):101-103. |
| |
| 作者姓名： | 邓自飞 |
| |
| 作者单位： | 南开大学深圳金融工程学院,广东,深圳,518031 |
| |
| 摘 要： | 为研究我国股票市场个股动量收益的主要来源问题，笔者对Jegadeesh and Titman（1993）和Moskowitz and Grinblatt（1999）提出的股票收益生成模型进行改进，提出了我国股票市场个股动量收益分解方法.实证发现，个股动量收益主要来自于行业动量收益.
|
| 关 键 词： | 收益分解 个股动量 行业动量 |
| 文章编号： | 1007-2985(2005)01-0101-03 |
| 修稿时间： | 2004年11月10 |
Decomposition and Empirical Study of the Profit of Individual Stock Momentum |
| |
| DENG Zi-fei.Decomposition and Empirical Study of the Profit of Individual Stock Momentum[J].Journal of Jishou University(Natural Science Edition),2005,26(1):101-103. |
| |
| Authors: | DENG Zi-fei |
| |
| Institution: | (Financial Engineering College,Nankai University,Shenzhen 518031,Guangdong China) |
| |
| Abstract: | To study the problem where the profit of individual stock momentum mainly comes from in our stock market,the author modifies the models of producing the stock profit presented by Jegadeesh and Titman(1993)and Moskowitz and Grinblatt(1999),and then provides a profit decomposing method of the individual stock momentum of the stock market in China.The empirical study indicates that the profit of individual momentum mainly comes from the industry momentum. |
| |
| Keywords: | profit decomposing individual momentum industry momentum |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《吉首大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《吉首大学学报(自然科学版)》下载免费的PDF全文 |
