基于动量效应的α套利策略有效性研究——以我国中小板上市公司为样本

A Validity Study on the Alpha Arbitrage Strategy Based on Momentum Effects——Taking the Companies in SME Stock Market as Samples

α套利策略是较为前沿的量化投资策略之一。以我国中小板上市公司为样本,通过获得各股票的α值,根据动量效应选择α值排名前50的股票作为多头部位,同时以沪深300股指期货作为空头部位,构建零成本α套利组合,以检验α套利组合收益的显著性和稳定性,并利用α套利策略进行模拟投资。结果显示,α套利组合在样本期内的收益率显著为正,且显著超越市场收益,证明α套利策略在我国中小板市场中是有效的。

a arbitrage strategy is one of the most advanced strategies in quantitative investment. The α＇ s of the listed companies in Shenzhen small and mediumsize enterprise （SME） stock market are acquired firstly. Then, according to the momentum effect of α , the top 50 stocks are selected as long position, and the CSI 300 stock index futures is selected as short position, which collectively constructs an zero cost α arbitrage portfolio. Finally, the significant and stability of the portfolio yields are investigated, and the strategies are simulatively confirmed. The empirical results show that the mean yield of the ct arbitrage portfolio is significant during the sample period, and the simulated portfolios can yield significant abnormal return. Those conclusions indicate that the α arbitrage strategy is feasible in our SME stock market.