摘要
本文对国内商品期货市场存在的动量策略进行实证研究。文章根据不同的形成期和持有期,构造了16种不同的动量策略投资组合,以及4种不同的反转策略投资组合;最后得出短期内动量策略获得了超额利润,并且在统计学上是显著的。在风险补偿的实证研究中,多因素模型在一定程度上还是能对动量策略产生的超额利润进行解释。
The article tests for the presence of short-term continuation and long-term reversal in commodity futures prices.According to different ranking-period and holding-period,we structure 16 different kinds of Momentum investment portfolio strategy,and four different types of Contrarian investment portfolio strategy.We found that Momentum Strategies work,and significant in statistics.The multifactor model is used to measure the profitability of the Momentum strategy after accounting for risk,and it can explain the profitability of the Momentum strategy.
出处
《现代物业（中旬刊）》
2010年第7期5-7,20,共4页
Modern Property Management
关键词
动量策略
超额利润
多因素模型
Momentum Strategies
Excess profits
Multifactor model
