风格投资与收益协同性对于个股收益的影响

发布时间：2018-03-19 21:00

本文选题：风格投资　切入点：协同性　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融市场的繁荣,资产管理产业的进一步发展,风格投资(StyleInvesting)作为一种高效的资产配置受到越来越多的关注。欧美市场研究发现,风格投资组合具有显著的动量效应(Momentum),而且这一投资组合层面的动量效应将进一步影响到组合内部个股的动量效应,并引发组内个股间的收益波动协同性。风格投资历史收益对个股未来收益是否有预测能力?投资者如何利用已知风格投资组合的表现构造策略套利?这是本文研究的两个问题。本文通过Fama-Macbeth横截面回归模型发现,在中国市场,风格投资历史收益具有显著为正的系数估计,而个股自身历史收益对应系数不显著。因此本文认为风格投资的历史收益对于个股未来收益表现有一定预测能力。同时,本文利用风格投资的动量效应构建月度套利策略,并发现：中国的风格投资动量效应存续期较短；投资者可以通过在短期内(3个月)买入历史收益较好风格投资组合(赢家),卖出历史收益较差组合(输家),获得显著正收益；策略进一步加入风格投资组合内协同性因子(Comovement)构造对角策略后,发现买入协同性高的赢家-输家组合,卖出协同性低的赢家-输家组合亦可以取得显著正收益,并且这一策略在中长期更稳定。本文同时发现,对于周度数据,上述现象依然存在。因此,本文认为不仅风格投资组合历史收益对于个股未来收益波动有预测性,个股与组合的协同性作为甄别其与风格投资组合相似程度的变量,对于个股未来走势同样具有一定解释度,对投资者资产配置有指导性。另一方面,中国市场动量效应显示出存续期短,且无短期收益反转的现象,这些结论都与成熟市场研究发现不同。
[Abstract]:With the prosperity of the financial market and the further development of the asset management industry, style Investment has attracted more and more attention as an efficient asset allocation. The momentum effect of style portfolio is significant, and the momentum effect at the level of this portfolio will further affect the momentum effect of individual stocks in the portfolio. It also leads to the synergy of income fluctuation among individual stocks in the group. Do historical returns of style investment have the ability to predict the future returns of individual stocks? How do investors make use of the performance of known style portfolios to construct arbitrage strategies? These are two problems studied in this paper. Based on the Fama-Macbeth cross section regression model, it is found that the historical return of style investment has a significant positive coefficient estimate in Chinese market. However, the corresponding coefficient of individual stock's own historical income is not significant. Therefore, this paper thinks that the historical income of style investment has certain ability to predict the future performance of individual stock. At the same time, the momentum effect of style investment is used to construct monthly arbitrage strategy, and it is found that the momentum effect of style investment in China has a short duration; In the short term (3 months), investors can buy a better style portfolio of historical returns (winners, sell poor historical returns) (losers, make a significant positive return; The strategy further adds the synergy factor within the style portfolio to construct the diagonal strategy, and it is found that buying the winner-loser portfolio with high synergy and selling the winner-loser portfolio with low synergy can also make a significant positive return. And this strategy is more stable in the medium and long term. Therefore, this paper holds that not only the historical return of style portfolio has predictability for the future return fluctuation of individual stock, but also the synergy between individual stock and portfolio is a variable to distinguish the similarity between the style portfolio and the style portfolio. On the other hand, the momentum effect of Chinese market shows the phenomenon of short duration and no short-term return reversal. These conclusions are different from mature market research findings.
【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】：F224;F832.51

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