基金重仓股动量效应与反转效应的实证研究

发布时间：2018-02-07 14:53

本文关键词： 基金重仓股动量效应反转效应累积超额收益率基金持股比例　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：股票收益变动的可预测性始终是微观金融学研究的焦点课题，并有经验证据表明包含在过去收益序列中的信息对股票未来收益具有一定的预测作用，最有代表性的两种观点是股票收益存在动量效应和反转效应。动量效应是指过去一段时间收益较高的股票在将来仍能获得较高的收益，反转效应是指过去一段时间收益较高的股票在未来获得较低的收益。目前，国内相关研究主要集中于讨论股票动量效应和反转效应的存在性并从股票本身寻找影响因素，而缺少从投资者视角的研究。在中国股票市场上，，基金作为股市主力投资机构对股票收益产生重要影响，它也是引发股票收益出现动量或反转的主要力量。本文选取基金重仓股为研究对象，分析股票动量效应和反转效应的存在性，并从基金的角度出发，研究基金持股比例对基金重仓股票未来超额收益的影响。本文选取2007年至2011年基金交易数据和股票交易数据，划分赢者组合和输者组合，分析基金重仓股动量效应和反转效应的存在性及其影响因素。实证研究表明：(1）在6个月以内时，赢者组合的收益存在显著动量效应，输者组合的收益存在显著反转效应；超过6个月以后，收益的动量效应和反转效应都不显著；（2）基金持股比例与股票检验期6个月累积超额收益率显著正相关；（3）股票基本面信息对检验期累积超额收益率的影响不显著。
[Abstract]:The predictability of stock returns has always been the focus of microfinancial research, and empirical evidence shows that the information contained in the past returns series can predict the future returns of stocks to a certain extent. The two most representative views are that there are momentum effects and reversal effects in stock returns. Momentum effect means that stocks with higher returns in the past will still have higher returns in the future. The reverse effect is that stocks with higher returns in the past have lower returns in the future. At present, domestic researches mainly focus on the existence of stock momentum effect and reverse effect and look for the influencing factors from the stock itself, but lack the research from the perspective of investors. As the main investment institution of the stock market, the fund has an important influence on the stock return, and it is also the main force that leads to the momentum or reversal of the stock return. This paper analyzes the existence of momentum effect and reverse effect of stock, and from the perspective of fund, studies the influence of the proportion of fund holding on the future excess return of heavy stock. This paper selects fund trading data and stock trading data from 2007 to 2011 to divide the winners' portfolio and the loser's portfolio. This paper analyzes the existence and influence factors of momentum effect and reverse effect of heavy stock of fund. The empirical study shows that within 6 months, the return of winner portfolio has significant momentum effect, and the return of loser portfolio has significant reversal effect. More than six months later, The momentum effect and reverse effect of income are not significant. 2) there is no significant positive correlation between the ratio of fund holding and the cumulative excess return in the six months of stock inspection period) the effect of stock fundamental information on the cumulative excess return in the test period is not significant.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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