趋势因子与股票横截面收益

Trend Factor and The Cross-section of Stock Returns

本文采用2005年至2016年A股上市公司为研究样本,通过归一化的均线指标,构造了个股趋势因子。实证结果发现:该因子对股票横截面收益具有显著的解释能力,经过CAPM模型和Fama French三因子模型风险调整后依然存在显著的超额收益。

Using the sample of A-share listed firms from 2005 to 2016,we construct an trend factor of individual stock through standardized mean indicators.The empirical results show that the factor has significant explanatory power for the cross-sectio returns.We still observe significant abnormal returns after risk adjustment using the CAPM model and Fama-French three factor model.