基于中国股市的动量策略和反转策略盈利性研究

Study on the Profitability of Contrarian and Momentum Strategies Based on China’s Stock Market

本文测试了中国股票市场中A股的反转策略和动量策略的盈利性,实证结果证明了短期内的动量收益,而反转收益存在于中长期和长期。在对两类收益的原因探析中,本文证明反转收益部分归因于规模效应。Beta因素对两类收益都没有解释力。本文同时还测试了Fama-French三因素模型,发现包含市场风险、规模差异和账面市场价值比在内的三类公共因素均不能有效解释反转收益和动量收益。

This paper investigates the profitability of contrarian and momentum strategies and their sources for Shanghai ＂A＂ shares in China＇ s stock market. Consistent with previous research in developed markets, the empirical work of this paper observes that momentum profits exist over short term while eontrarian profits spread over medium-to-long and long term. This paper pl＇oves that contrarian profits are partly due to the size effect, and demonstrates that neither eontrarian profits nor momentum profits can he explained by the difference of Beta between past loser portfolios and previous winner portfolios based on a single factor model test. This paper also tests ways of further employing the Fama-French three-factor model and finds out that neither contrarian nor momentum profits can be explained by market risk, size difference, and book value, the so-called Fama-French three-factor model.