反向投资策略在A股市场的适用性分析及其改进方法

发布时间：2018-02-05 19:24

本文关键词： 反向投资策略行为金融理论过度反应　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文选取了在沪深两市上市的所有A股在1992年1月至2011年12月期间的月数据,研究了反向投资策略在中国股票市场上的适用性。研究结果表明反向投资策略在形成期和持有期都较长的情况下才具有获利性。随后,本文研究了市场超额回报率、SMB(由市值小的公司发行的股票组成的投资组合与由市值大的公司发行的股票组成的投资组合的收益之差)和HML(由账面市值比较高的公司发行的股票组成的投资组合与由账面市值比较低的公司发行的股票组成的投资组合的收益之差)与反向投资策略收益率之间的关系,并根据分析结果将反向投资策略分为4种情况——短形成期和短持有期的反向投资策略、短形成期和长持有期的反向投资策略、长形成期和短持有期的反向投资策略以及长形成期和长持有期的反向投资策略。针对每一种情况,本文都对其进行了改进,从而形成了一套完整的新反向投资策略。实证结果表明,新的反向投资策略获利情况比原来的反向投资策略好,并且在中短期内也能获利。本文的研究意在为中国投资者提供一种长期稳定的盈利模式并给出对其改进的方法。
[Abstract]:This paper selects the monthly data of all A-shares listed in Shanghai and Shenzhen from January 1992 to December 2011. This paper studies the applicability of reverse investment strategy in Chinese stock market. The results show that the reverse investment strategy is profitable only when the forming period and holding period are long. This paper studies the market excess rate of return. SMBs (difference between a portfolio of shares issued by market value's small company and a portfolio of shares issued by market value large companies) and HMLs (. The relationship between the difference between the return of a portfolio consisting of stocks issued by a company with a higher book market value and that of a stock issued by a company with a lower book market value) and the return on reverse investment strategy. According to the results of the analysis, the reverse investment strategy can be divided into four kinds: the short forming period and the short holding period reverse investment strategy, the short forming period and the long holding period reverse investment strategy. The reverse investment strategy of long forming period and short holding period, and the reverse investment strategy of long forming period and long holding period. The empirical results show that the profit of the new reverse investment strategy is better than that of the original reverse investment strategy. The purpose of this study is to provide a long-term stable profit model for Chinese investors and to improve it.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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