中国证券市场异象的持续性检验被引量：6

Persistence Test of China's Stock Market Anomalies

导出

摘要梳理了理论界对于市场异象的研究结论,针对市场异象的争议,提出了基于马尔可夫的市场异象持续性检验模型,利用1993～2010年我国A股市场的收益数据,对我国股票市场的价值溢价、规模溢价和动量溢价等市场异象进行实证检验。研究发现,我国A股市场的价值溢价与动量溢价在长期内存在持续性,规模溢价的持续性相对较弱,并且,生存偏差、收益平滑和统计区间对于市场异象的持续性存在不同程度的影响。 For the controversies among market anomalies,we put forward a persistence testing model based on Markov.Then an empirical study is undertaken to analysis the persistence of value premium,size premium and momentum premium on Chinese stock market during 1993 to 2010.We concluded that is that value premium and momentum premium exist continuously in A share market,while the continuity of size premium was poor,and,survivorship bias and return smoothing significantly influence the persistence of market anomalies.

作者张剑张再生闫东玲

机构地区天津大学管理与经济学部

出处《系统工程》 CSSCI CSCD 北大核心 2012年第3期1-7,共7页 Systems Engineering

基金教育部人文社科项目(09YJA790147)

关键词市场异象持续性马尔可夫链生存偏差收益反平滑 Market Anomalies Persistence Markov Chain Survivorship Bias Return Unsmoothing

分类号 F832 [经济管理—金融学]

引文网络
相关文献

参考文献28

1Banz R W. The relationship between return and market value of common stocks[J]. Journal of Financial Economics,1981,9(1) :3-18.
2Basu S. The investment performance of common stocks in relation to their price to earnings ratios: Atest of the efficient market hypothesis[J].Journal of Finance, 1977,32 (3) : 663- 682.
3La Porta, Rafael. Expectations and the cross-section of stock returns[J]. Journal of Finance, 1996,51 (5) : 1715-1742.
4Shumway T. Size,overreaction, and book-to-market effects as default premia, http..//ssrn, corn/abstract =7996.
5Hawawini G, Keim D. The cross-section of common stock returns: A review of the evidence and some new findings, http://ssrn, com/abstract=40640.
6Booth D G,Keim D B. Is there still a January effect'/ [M]. Cambridge University Press,2000.
7Siegel L B, Alexander J G. Persistence analysis of hedge fund returns [J]. Journal of Investing, 2000, 9 (4) : 33-45.
8Black F. Beta and return[J]. Journal of Portfolio Management, 1993,20 (1) :8-18.
9MacKinlay A C. Multifactor models do not explain deviations from the CAPM[J]. Journal of Financial Economics, 1995,38(1) : 3-28.
10Ibbotson R G, Reipe M W. Growth vs. value investing: And the winner is ... [J]. Journal of Financial Planning, 1997,10(3) : 64-71.

二级参考文献61

1汪炜,周宇.中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例[J].经济研究,2002,37(10):16-21. 被引量：93
2宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995(4):107-113. 被引量：161
3吴世农.我国证券市场效率的分析[J].经济研究,1996,31(4):13-19. 被引量：317
4Bachelier, L. , 1900. "Theorie de la speculation. Annales de l'Ecole normale Superieure",[M] 3rd series, 17, P21--86. Trans. by A.J. Boness in The Random Character of Stock Market Prices, ed. P.H.Cootner, Cambridge, Mass. : MIT Press, 1967.
5Barberis, N. , Shleifer, A. and Vishny, R. , 1998. "A model of investor sentiment", [J] Journal of Financial Economics 49, P307-- 343.
6Chan, L. K. , Jegadeesh, N. and Lakonishok, J. , 1996. "Momentum strategies", [J] Journal of Finance 51, P1681-- 1713.
7DeBondt, W. , and Thaler, R. , 1985. "Does the Stock Market Overreact?", [J] Journal of Finance 40,P793--805.
8Delong, J. B. , Shleifer, A. , Summer, L. and Waldmann, R. , 1990. "Positive feedback investment strategies and destabilizing rational speculation", [J] Journal of Finance 45, P379--395.
9Deniel, K. , Hirshleifer D. , and Subrahmanyam A. , 1998. "Investor psychology and security market under-- and over--reactions", [J] Journal of Finance 53, P1839--1886.
10Fama, E.F. , 1970. "Efficient capital markets: a review of theory and empirical work", [J] Journal of Finance, 25, P383--417.