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| 基于收益分解的股票市场动量效应国际比较 | |
| 引用本文： | 郭磊,吴冲锋,刘海龙. 基于收益分解的股票市场动量效应国际比较[J]. 系统管理学报, 2007, 16(2): 189-193 |
| 作者姓名： | 郭磊 吴冲锋 刘海龙 |
| 作者单位： | 1. 中国银行业监督管理委员会,河南监管局,郑州,450003 2. 上海交通大学,金融工程研究中心,上海,200052 |
| 摘 要： | 基于资产定价模型和股票市场动量效应的研究成果,对比分析了中、美股票市场动量效应的存在及形成机理。结果表明,中国股票市场赢者组合过早出现收益反转,致使动量投资策略盈利性不显著;而美国股票市场赢者组合与输者组合表现的相对对称性,保证了动量投资策略的盈利性。不同市场动量投资组合收益成分变化与市场表现之间的因果关系进一步揭示了动量效应的内在机理。 |
| 关 键 词： | 动量效应 基本收益 市场交易收益 反应不足 反应过度 |
| 文章编号： | 1005-2542(2007)02-0189-05 |
| 修稿时间： | 2004-03-16 |
The International Comparative Study on Momentum Effect |
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| GUO Lei,WU Chong-feng,LIU Hai-long. The International Comparative Study on Momentum Effect[J]. Systems Engineering Theory·Methodology·Applications, 2007, 16(2): 189-193 | |
| Authors: | GUO Lei WU Chong-feng LIU Hai-long |
| Abstract: | Based on asset pricing model and empirical results on momentum effect, this study comparatively analyzes the momentum effect existence and formation mechanism.The results show that,the premature return reverse of winners results in that the profitability of momentum strategy is not obviousv in Chinese stocks market,while the symmetrical behaveior of winners and losers guarantees the profitability of momentum strategy in American stocks market.Furthermore,the relationship between the changes of return components of portfolios in different markets and investment achievement indicates the mechanism of momentum effect. |
| Keywords: | momentum effect intrinsic return market-trading return over-reaction under-reaction |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |