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考虑卖空限制的动量效应和反向效应模型 被引量：13

Momentum and Contrarian Effect Model under Constrain of Short Sale
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摘要 　改进了HS模型的假设条件,增加了反向投资者行为偏差的影响,建立了考虑卖空限制的动量效应和反向效应模型.在研究方法上,采用了不同于HS模型的递推公式法,清晰地描述了正、负消息影响下股价及收益率的运动轨迹,直观地分析了消息投资者和两类趋势投资者行为偏差导致赢者和输者组合出现动量效应和反向效应的规模和方向.证明了受到卖空限制的约束,输者组合股票在长期表现出反向效应的概率比没有卖空限制时减小. We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.
作者 朱战宇 吴冲锋
机构地区 上海交通大学安泰管理学院
出处 《系统工程理论与实践》 EI CSCD 北大核心 2005年第1期1-11,共11页 Systems Engineering-Theory & Practice
关键词 动量效应 反向效应 反应不足 反应过度 行为金融 momentum effect contrarian effect underreaction overreaction behavioral finance
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献7

  • 1刘煜辉,贺菊煌,沈可挺.中国股市中信息反应模式的实证分析[J].管理世界,2003,19(8):6-15. 被引量：50
  • 2朱战宇,吴冲锋,王承炜.股市价格动量与交易量关系:中国的经验研究与国际比较[J].系统工程理论与实践,2004,24(2):1-7. 被引量：18
  • 3Conrad, Jennifer, Gautam Kaul. An anatomy of trading strategies[J]. Review of Financial Studies, 1998,11(3):489-519.
  • 4Grundy, Bruce D, Spencer J Martin. Understanding the nature of risks and the sources of rewards to momentum investing[J]. Review of Financial Studies,2001, 14(1):29-78.
  • 5Hong H,Stein J. A unified theory of underreaction, momentum trading and overreaction in asset markets[J]. Journal of Finance,1999, 54(6):2143-2184.
  • 6Jegadeesh, Narasimhan, Sheridan Titman. Returns to buying winners and selling losers: Implications for stock market efficiency[J]. Journal of Finance, 1993,48(1): 65-91.
  • 7Jegadeesh, Narasimhan, Sheridan Titman. Profitability of momentum strategies: An evaluation of alternative explanations[J]. Journal of Finance,2001, 56(2):699-720.

二级参考文献16

  • 1刘煜辉 沈可挺 唐璐.《中国股市中个股间超前——滞后关系的规模与交易量效应》 Working Paper[M].,2003..
  • 2Christie and Huang, 1995, "Following the pied piper:Do Individual Returns Herd around the Market?", Financial Analysts Journal, July - Auzust 1995, 31-- 37.
  • 3Daniel, Hirshlei{er and Subramanyam, 1998, "Investor Psychology and Security Market under and over Reactions",Journal of Finance 53,1839-1885.
  • 4Debondt and Thaler, 1985, "Does the Stock Market Overreact?" ,Journal of Finance 40, 793-805.
  • 5Hong Harrison and Stein, 1999, "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets", Journal of Finance 54. 2143-2184.
  • 6Jagedeesh and Leahman, 1990, "Evidence of Predictable Behavior of Security Returns", Journal of Finance 45, 881-898.
  • 7Jagedeesh and Titman, 1993, "Returns to Buy the Winners and Sell the Losers: Implications for Stock Market Efficiency" ,Journal of Finance 48,65-- 91.
  • 8Lo and MaeKinlay, 1990,"When are Contrarian Profits are Due to Stock Market Overreaction?", Review of Financial Studies 3,175-205.
  • 9Newey, W. and K. D. West, 1987,"A imple Positive Semi - definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica , 55(3):703-708.
  • 10Shefrin, H. and M. Statman , 1985,"The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and evidence", Journal of Finance. 777-- 790.

共引文献64

同被引文献179

引证文献13

二级引证文献75

系统工程理论与实践
2005年 第1期

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