摘要
对动量策略与反向策略的热点研究领域——异常收益的来源做了重点评述;对如何建立输家组合与赢家组合的几种方法进行了分析,并指出了优缺点。最后,对动量效应微观机制的研究进展作了介绍,并对将来的研究进行了展望。
This paper summarizes spot research domain-on the source of the profit from momentum strategies and contrarian strategies; At the same time for the key research domain-several kinds of methods of how to build loser portfolio and winner portfolio is analyzed, and its shortcoming has been pointed out introduced, Finally progress on the research of microcosmic mechanism of price momentum was and future researches prospect.
出处
《系统工程理论方法应用》
北大核心
2005年第4期343-349,共7页
Systems Engineering Theory·Methodology·Applications
基金
国家杰出青年科学基金项目(70229001)
西南交通大学优秀博士创新基金项目
关键词
动量策略
反向策略
行为金融
输家组合
赢家组合
momentum strategies
contrarian strategies
behavioral finance
winner portfolio
loser portfolio
