上市公司经营业绩在动量效应形成中的作用

Effect of management achievement of listed corporations on momentum effect

为探讨上市公司经营业绩在动量效应形成中的作用,通过利用产业与资本市场的资产定价模型分解股票收益,按照三种收益水平构造动量投资组合并考察收益在持有期的表现,结果发现,经营业绩的横截面差异是形成动量与反转效应的必要条件;股票市场交易行为在不同时期对经营业绩的反应过度和反应不足促成了收益的动量与反转效应的形成。

To understand the effect of management achievement of listed corporations on momentum effect,this paper firstly decomposes stock return into intrinsic return that comes from management achievement of listed corporations and market--trading return coming from market--trading activities. Then the momentum portfolios are formed based on three types of stock return. The empirical results indicate that the cross--sectional management achievement difference of listed corporations of momentum portfolios is the necessary condition of momentum and contrarian effect, the under-and over--reaction of market- trading return to management achievement stimulates the appearances of momentum and contrarian effect.