动量策略、反转策略及其收益率的高阶矩风险

发布时间：2018-01-04 04:39

本文关键词：动量策略、反转策略及其收益率的高阶矩风险　出处：《系统工程》2011年02期 　论文类型：期刊论文

【摘要】：鉴于股市收益率常常表现出非对称性和"尖峰""厚尾"等系统性的高阶矩特征,本文在"均值-方差"CAPM和三因素模型等经典模型的基础上加入高阶矩风险,考查动量策略和反转策略的收益率是否可以进一步被高阶矩风险所解释。以中国沪深股市1998年1月至2009年11月所有A股的月度收益为样本,研究发现:(1)加入高阶矩风险能显著改进经典模型对两种策略下输家和零投资组合以及部分赢家组合收益率的解释力;(2)动量效应并不显著而反转效应显著存在;(3)经典模型不能解释的动量策略输家组合的超额收益可以由高阶矩风险所解释;(4)反转策略下输家组合比该策略下的赢家组合具有相对较高的因素风险和高阶矩风险。
[Abstract]:In view of the stock market rate of return often show non symmetry and the "fat tail" "peak" system of higher order moments, we add higher moments risk based on the mean variance CAPM and three factor model on the classical model, examine the contrarian and momentum strategies yields can be further the explanation for the high moments risk. From January 1998 to November 2009 in Shanghai and Shenzhen stock Chinese all A shares of the monthly income of the sample, the study found that: (1) adding higher moments risk can improve the classical model winner portfolio returns to explain the two strategies for losers and zero investment portfolio and significant momentum (2); the effect is not significant while the reversal effect is significant; (3) the momentum strategy of loser portfolio excess returns cannot be explained by the classical model can be explained by higher moments risk; (4) combination strategy than the loser reversal strategy the winner portfolio is The high risk factors and the risk of higher order moments.

【作者单位】：电子科技大学经济与管理学院;台湾政治大学国际贸易学系;
【基金】：四川省国际科技合作项目(2008HH0014)
【分类号】：F224;F830.91
【正文快照】： “动量策略”,又称惯性策略,指的是在短期内(通常不超过1年),买入过去若干个月表现较好的股票(“赢家”),并卖空同期表现较差的股票(“输家”),依此构建的“零投资组合”(Zero Investm en t Portfolio)在未来若干个月将产生显著为正的超额收益。与之相反,“反转策略”指的是

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