股价动量效应、公司未来盈利与市场定价效率

Stock Price Momentum Effect,Company Future Profit and Market Pricing Efficiency

以2008年4月至2018年4月沪深A股的周度交易数据和季度财务数据为研究对象,通过q因子模型和五因子模型对个股动量效应、行业动量效应、相对股价动量效应进行实证检验。研究表明:我国股票市场存在显著的个股动量效应和行业动量效应,但不存在明显的相对股价效应;q因子模型和五因子模型都可以很好地解释动量效应,并且后者要优于前者;股票价格动量与公司未来盈利在短期和长期内都存在显著的正相关关系;除两次"股灾"外,最近十年的定价效率总体上呈现稳中有增的趋势,市场的定价效率出现了明显提高。

Taking the weekly transaction data and quarterly financial data of A-share listed companies in Shanghai and Shenzhen from April 2008 to April 2018 as samples,this paper applied q-factor model and five-factor model to empirically test individual stock momentum effect,industry momentum effect and relative stock price momentum effect. Then we find that,there are significant individual stock momentum effect and industry momentum effect in China’s stock market,but no obvious relative stock price momentum effect. In terms of two models,they have well explained momentum effect,and five-factor model is better. Furthermore,there is significant positive correlation between momentum effect and company’s future earnings both in the short-term and the longterm. Besides,the pricing efficiency in the last 10 years has generally shown a trend of steady increase without regard to stock disasters,which has obviously improved.