中国股市动量策略和反向策略的赢利性

利用经偏度、序列相关和异方差调整的t统计量,考察了1995～2002年我国股市动量策略和反向策略的赢利性,并研究了均值-标准差比率优化配置对上述两种策略赢利性的影响。研究发现:动量策略中赢者和输者组合都未表现出相应的收益惯性,该策略无利可图;反向策略中赢者组合和输者组合都表现出相当显著的反转,即使不允许卖空,也可获得显著的超额收益;均值-标准差比率优化配置可以显著地提高反向策略的赢利。

Profitability of Momentum Strategies and Contrarian Strategies in China Stock Markets

Using t-statistic adjusted by skewness, serial correlation and heteroskedastickty, this paper examines the profitability of momentum strategies and contrarian strategies in China stock markets, and investigates whether the mean-standard deviation ratio optimization allocation affects the profitability of two kinds of strategies. The results indicate that winners and losers of momentum strategies don't show return persistence and momentum strategies are not profitable. On the contrary, inners and losers of contrarian strategies present considerably significant return reversals, and even if short selling is not permitted, contrarian strategies also bring significant excess returns. Moreover, the profit of contrarian strategies is significantly improved when the mean-standard deviation ratio optimization allocation is used.