基于中美股市的动量与价值效应混合策略研究

Research on hybrid strategy of momentum and value effect based on Chinese and American stock markets

为改善单一的基于动量效应或价值效应的投资策略波动率高或收益低的问题,以沪深300市场与美国标普500市场为研究对象,在修正幸存者偏差等问题的基础上,分析单一的价值投资策略与动量策略的有效性,并构建“叠加”混合与“有机”混合这两种不同结合方式的策略。研究结果显示,在沪深300市场中,价值投资策略在不同持有期均可获得超额收益,动量策略在持有期为1个月时具有较高的超额收益,但波动率也较高,两种混合策略在拥有相对较高收益率的同时,均能有效降低波动率、提高夏普比率;而在标普500市场中,价值投资策略与混合策略均是失效的。通过对比分析中美市场的货币环境可知,美国的长期低利率和量化宽松政策降低了价值投资的效果,而中国稳健的货币政策有利于股市的价值发现,进而使混合策略的有效性得到充分体现。本研究结合行为金融学和社会心理学对投资策略的形成机理进行分析,可为投资者提供理论参考。

In response to the problem of high volatility or low return of a single investment strategy based on momentum effect or value effect,CSI 300 market and S&P 500 market were taken as the research object to analyze the effectiveness of the single value investment strategy and momentum strategy on the basis of correcting data problems such as survivor deviation,constructing“superposition”hybrid strategy and“organic”hybrid strategy,two strategies differing in combination methods.The results show that in the CSI 300 market,the value investment strategy can obtain excess returns in different holding periods,and the momentum strategy has higher excess returns when the holding period is one month,but with high volatility,and those two hybrid strategies can effectively reduce the volatility and improve the sharp ratio while having relatively high returns;however,in the S&P 500 market,both value investment strategy and hybrid strategy are ineffective.Through the comparative analysis of the monetary environment in the Chinese and American markets,it can be seen that U.S.A’s long-term low interest rate and quantitative easing policy reduces the effect of value investment,while China’s prudent monetary policy is conducive to value discovery of the stock market,which fully reflects effectiveness of the hybrid strategy.Combined with behavioral finance and social psychology,this research analyzes the formation mechanism of investment strategy to provide theoretical reference for investors.