深圳股票市场盈余动量的实证研究被引量：1

Empirical Research of Earnings Momentum in Shenzhen Stock Market

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摘要盈余动量现象是投资者对市场非理性反应引起的异象。以1999-2004年深圳股市179家上市公司为样本，检验在2002-2004年期间我国深圳股市是否存在盈余动量现象。构造了零套利投资组合，即买人赢者组合，卖出输者组合，发现持有期3个月以上，都可以获得显著的差额收益，同时验证了行为金融学提出的“反应不足模式”。 Earnings momentum is an abnormality induced by investors＇ irrational action. Using 179 sample data on ＂A＂ shares in Shenzhen stock market, whether there is earnings momentum from 2002 to 2004 is tested. Investment strategies that exploit such momentum, by buying past winners and selling past losers, can produce positive returns, especially for those keeping more than three-month investment period. The result admits the under-reaction in the behavioral finance.

作者马倩夏新平汪宜霞

机构地区华中科技大学管理学院

出处《武汉理工大学学报（信息与管理工程版）》 CAS 2006年第4期132-134,139,共4页 Journal of Wuhan University of Technology：Information & Management Engineering

关键词盈余动量行为金融学反应不足 earnings momentum behavioral finance under reaction

分类号 F830.91 [经济管理—金融学]

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