惯性策略和反转策略：来自中国沪深A股市场的新证据

Momentum and Contrarian Strategies:the New Evidence from the Stock Market in Shanghai and Shenzhen in China

本文基于1994年-2005年的全样本数据,研究了沪深A股市场的惯性和反转投资策略。结果表明,在中国A股市场基本不存在惯性现象,而存在显著的反转现象。多种反转策略中赢者组合和输者组合在检验期中的均值高度一致地表现出反转特征,投资者呈现出过度反应的特征。究其原因,我们发现风险补偿理论对中国股市的惯性策略和反转策略具有一定的解释力。对比不同市场态势下,惯性和反转策略的获利能力,揭示其获利的条件和环境应该是未来在该领域的一个重要研究方向。

Based on the full sample data from 1994 - 2005, this paper investigates into the momentum and contrarian effect in China Shanghai and Shenzhen A share market. The empirical findings confirm the significant contrarian effect and reject the momentum. There is an overreaction in these investors. We find that risk is a cause for the contrarian strategy. Comparing the probability of giving a gain for the momentum and contrarian strategies in various conditions is a feasible way in the future,