动能报酬率的来源分析:基于市值账面比拆解

The Source of Momentum Profit:Evidence from Decomposing the Market to Book Ratio

本研究以市值账面比为出发点,将其拆分为公司的成长机会及定价误差,以中国上市公司为样本,探究市场动能绩效的来源,检验动能投资策略在不同成长机会及定价误差下的绩效。研究结果显示：第一,在价值被高估的股票中,动能持续或反转不明显;第二,在价值被低估的股票中,高成长性股票存在明显动能反转绩效,且定价误差愈小,反转现象越明显;第三,中国股市同时存在绩效持续性及反转,价值高估的股票会出现绩效反转,价值低估的股票会出现绩效持续,且成长机会愈佳,动能利润愈强;第四,赢家股动能利润与成长机会显著相关,绩效居中股价值低估与动能利润显著相关,输家股的价值高估与动能利润显著相关。

This paper decomposes MB into growth opportunity and mispricing to explore the source of momentum.We also test the momentum investment strategy under different growth opportunity and mispricing with Chinese listed companies.The result shows that：firstly,momentum continuing or reversing is unobvious in the overvalued stock.Secondly,in the undervalued stock,high-growth stock has obvious momentum reversal,and the smaller mispricing the more obvious the reverse is.Thirdly,both continuing and reversing exist in China＇s stock market,the overvalued stock＇s momentum will reverse,the undervalued stock＇s momentum will continue and the better growth stock has high momentum profit.Fourth,the momentum profit of winner stocks is closely related with growth opportunity,undervaluation has strong links with momentum profit in the middle performance stock,the overvaluation of loser stock shows significant correlation with momentum profit.