反转效应与资产定价：历史收益率如何影响现在

Reversal Effects and Asset Pricing in China:How Do Historical Returns Influence Stock Performance

我国股票历史表现如何影响当前收益率?本文通过分析1992年至2012年股票回报率数据,发现我国股票回报率存在超短期的反转效应。与美国等发达国家股票市场不同,我国股市的惯性效应并不显著。我们同时发现,Fama-French三因素模型并不能有效解释我国股票历史表现对当前收益率的影响。进一步研究我国股市收益率反转的特征,我们构造了反转因子。进一步,发展Carhart(1997)和Novy-Marx(2012)的研究结果,本文提出包含反转效应的四因素模型。

Using the data of share prices from 1992 to 2012 in the Shanghai and Shenzhen stock exchanges, we find that there are reversal effects in the super-short term, but there are merely occasions for the inertia to take effect, which is significantly different from developed stock markets. We also show that the reversal premium cannot be captured or explained by Fama-French three-factor model. Studying the features of the Chinese stock returns, we further structure the momentum factor and present the Chinese four-factor model of asset pricing, which contributes to Carhart （1997） and Novy-Marx （2012）.