中国市场行业内反转收益研究

发布时间：2018-01-22 16:54

  本文关键词： 收益反转 行业分类 盈余公告 订单流不平衡　出处：《数学的实践与认识》2017年13期 　论文类型：期刊论文

【摘要】：研究我国A股市场更广泛存在的短期反转收益——月度行业内反转收益.行业内反转收益是传统的非条件反转收益在行业维度上的分解收益.非条件反转被定义为没有加入行业风格的反转策略,它是指单纯的买入基本面输家组合与卖出基本面赢家组合的反转策略.相对于非条件反转策略,行业内反转策略收益表现更加良好,甚至在高流动性,大市值股票样本中仍然能获得显著的α收益.从投资者对公开信息的反应以及订单流不平衡两个角度探究月度行业内反转收益的来源,发现行业内反转主要受到订单流不平衡的驱使,而不是由于投资者对公开信息的过度反应.
[Abstract]:Returns: Monthly short-term reversal in the industry contrarian more extensive research in China A stock market. The industry contrarian is unconditional contrarian decomposition proceeds in traditional industry dimensions. Non conditional inversion is defined as the reverse strategy did not join the style of the industry, it is to buy the fundamentals of loser portfolio and simple sell the fundamentals of the winner portfolio strategy. Compared with the non inversion conditions contrarian strategy, industry gains in performance better, even in high mobility, can still obtain alpha gain significant market value of stocks in the sample. From the investment of public information and the reaction order imbalance from two angles of the monthly industry in the inversion of income, found in the industry are mainly affected by the reversal of order imbalance driven, rather than because investors overreact to public information.

【作者单位】： 中国科学院大学经济与管理学院;
【分类号】：F832.51
【正文快照】： 1引言股票市场的短期反转策略在学术界一直被广泛地关注.反转策略是指做多过去表现差的股票,同时做空过去表现好的股票.与之相对应的是动量策略,它是指做多过去表现好的股票,同时做空过去表现差的股票.反转效应与动量效应在不同国家普遍存在,但收益表现以及持续周期在不同市场，

本文编号：1455220