基于“风格”视角股票动量效应研究

发布时间：2018-01-08 16:16

本文关键词：基于“风格”视角股票动量效应研究　出处：《云南财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：动量效应或反转效应是股票价格变化的两种形态。动量效应(或惯性效应)是指股票的收益具有延续性,即过去一段时间内,收益表现较好的股票在未来一段时间内仍会获得较好收益。反之,如果过去一段时间收益率较低的股票在未来却获得较高的收益率则称为反转效应。动量效应或反转效应都是通过分析历史股价信息获得超额收益的金融异象。早在Jegadeesh等人发现动量效应并震惊学术界之前,投资者已在投资实务中认识到惯性效应并加以利用。采用技术分析(价格沿趋势运动)实质上也就承认了股价有动量效应。不仅如此,实践中,投资者还青睐于选择如小市值,成长型,高换手等具有某一特征的股票。显然,在投资实践者的直观感觉上,不仅有动量效应,还可能存在“风格”层面(简称风格动量效应)的动量效应。介于此,本文将从“风格”动量效应研究入手,使用成交量和市值两个指标联合划分构造复合风格组合,考察从2011年1月初至2016年5月末风格组合的动量效应或反转效应表现。实证研究发现,总体来说上,动量效应部分存在于形成期3-4周,持有期3-2周的策略上,但整体分布并不明显。分时段研究发现,在牛市中绝大多数策略不仅有正的超额收益率且统计量显著,而在弱市中大多数策略收益率基本为负,动量效应不显著。对于动量或反转效应,传统学者从多因素风险补偿模型入手,认为动量组合的超额收益可能来源于其所承担的风险,其超额收益是对风险的补偿,但风险补偿模型不能很好对动量效应来源进行解释。行为金融学则认为,动量效应是投资者异质行为导致反应不足或反应过度现象而产生的。本文是基于行为金融学的BSV模型、DHS模型、HS模型,对第三章动量效应来源结果的进行阐释。
[Abstract]:The momentum effect or reversal effect are two forms of stock price changes. The momentum effect (or inertia effect) refers to the return of the stock with the continuity that over a period of time, good revenue performance shares in the next period of time will get better returns. On the contrary, if the rate of return is over a period of time low stocks could get higher yields is called the reversal effect in the future. Momentum or reversal effects are financial anomalies excess returns through the analysis of historical price information. Before Jegadeesh et al found the momentum effect and shocked academia, investors have in the investment practice recognized and utilized. The inertia effect technical analysis (the price along the trend movement) essentially admitted that the stock price momentum effect. Not only that, in practice, investors are also in favor of choice such as small market capitalization, high growth, change hands out There is a characteristic of stock. Obviously, in the intuitive sense of investment practitioners, not only has the momentum effect, there may also be a "style" (referred to as the style level momentum effect) of the momentum effect. Because of this, this paper will start from the "momentum effect research style", using volume and the market value of two indexes to divide structural composite the style of combination, the momentum effect is investigated from the early January 2011 to 2016 5 at the end of the style of combined or reverse effect performance. The empirical study shows that in general, the momentum effect exists in the formation period of 3-4 weeks, 3-2 weeks holding period strategy, but the overall distribution is not obvious. During the study found that in the bull market in most the strategy not only has excess rate of return and statistics was significant, but in the weak market most strategy the basic rate of return is negative, the momentum effect is not significant. The momentum or contrarian effect, the traditional scholars from many factors Starting with the risk compensation model, that the momentum portfolio's excess return may be derived from their risks, the excess return is compensation for the risk, but the risk compensation model cannot well explain the momentum source. Behavioral finance believes that the momentum effect is heterogeneous investment behavior lead to inadequate response or overreaction phenomenon this paper is produced. The BSV model of behavioral finance based on the DHS model, HS model, the third chapter of this paper illustrates the source of the momentum effect.

【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】