| 基于A-H股溢价率的价值投资策略研究 |
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| 引用本文： | 宋军,乔嘉麒,缪一琳,吴冲锋. 基于A-H股溢价率的价值投资策略研究[J]. 系统工程学报, 2009, 24(5). DOI: 10.3969/j.issn.1000-5781.2009.05.010 |
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| 作者姓名： | 宋军 乔嘉麒 缪一琳 吴冲锋 |
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| 作者单位： | 宋军,乔嘉麒,缪一琳(复旦大学经济学院国际金融系,上海,200433);吴冲锋(上海交通大学安泰经济与管理学院金融系,上海,200025) |
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| 摘 要： | 寻找有效定价因子并构建可获得超额收益的投资策略一直是金融理论界和实务界关注的核心问题.本文运用组合价差法分别研究了基于A-H股溢价率的3种价值投资策略1998年至2007年的超额收益,发现空间策略和时间策略都可获得超额期望收益,时空交叉策略又可进一步提高超额收益.基于Fama等(1992)构造合溢价率的4因素模型,证明了在控制市场风险、B/M比值和公司规模3个因素后,溢价率效应依然存在.
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| 关 键 词： | A-H股溢价率 溢价率效应 空间策略 时间策略 4因素模型 |
Value investment strategy research based on A-H premium rate |
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| Abstract: | It has always been a core issue for both financial scholars and practitioners to find new efficient pricing factor and construct investment strategy to gain excess return.This paper applies the portfolio spread method to study the space strategy,the time strategy and the cross strategy based on the premium rate of A-H shares from 1998 to 2007.The results show that both the space and time strategies can gain excess expected returns and that the excess expected returns can be enhanced further when combining these two strategies.In addition,by constructing a four-factor model based on Fama et al( 1992),it is shown that after controlling market risk,B/M ratio and firm size,the premium rate effect still exists. |
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| Keywords: | A-H share premium rate premium rate effect space strategy time strategy,four-factor model |
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