摘要
对中国沪深市场1995-2015年间的低价股效应进行研究,发现存在显著的低价股效应,即买入低价股的收益率统计上显著高于买入高价股的收益率.对低价股效应的成因进行了数学分析和实际论证,得出低价股效应存在的逻辑基础是投资的未来属性和物极必反的客观规律.
The paper investigated the Low-Price Effect of Chinese Stock Market between the period of 1995 to 2015,and found that statistically significant Low-Price Effect existed,which meant that the returns of low price stocks were statistically significantly higher than the returns of high price stocks.The paper analyzed the reasons of the Low-Price Effect,and concluded that the future features of investment and the law of Extreme-Reversion were the logic basis of the Low-Price Effect.
作者
阙登峰
李群
QUE Deng-feng LI Qun(Beijing Jueshengwang Education ＆ technology Co, Ltd, Beijing 100086, China Institute of Quantitative ＆ Technical Economics, Chinese Academy of Social Science, Beijing 100732, China)
出处
《数学的实践与认识》
北大核心
2016年第22期123-128,共6页
Mathematics in Practice and Theory
基金
国家社科基金课题<经济发展方式转变成效评价研究及其实证分析>(11BTJ015)
中国社会科学院哲学社会科学创新工程基础研究学者资助项目<经济评价的理论
方法与实证分析>(2014年-2018年)
关键词
低价股效应
绝对价格
相对价格
未来价值
物极必反
low-price effect
absolute price
relative price
future value
extreme-reversion
