中国股市的行业动量效应研究

发布时间：2018-01-27 02:40

本文关键词： 动量效应行业动量效应行为金融学　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：尤金·法玛(Eugene Fama)于1970年深化并提出了有效市场假说理论EMH(Efficient Marketing Hypothesis)。该理论是现代经典理论的基石,它为复杂的定价模型打开了一扇新的大门,Fama认为超额收益只是对相应风险的补偿,在有效的市场中投资者无法获得持续的超额收益,因此投资者应该采取被动投资策略。然而一些异象的发现给有效市场理论带来了极大地挑战,针对异象而设计的主动投资策略也应运而生,动量策略和反转策略就是其中的一员。随着中国经济的持续疲软,选择表现好的行业或者新兴行业已经成为我国机构投资者重要的投资策略之一,因此,从行业动量的角度来进行研究具有重要的现实意义。本文先将个股数据用等平均权重法拟合成行业指数,再利用Moskowitz and Grinblatt(1999)的研究方法来构建行业动量策略；在用该策略的收益率与市场收益率进行比较后发现：中国的行业动量效应存在于短期和长期,而在中期行业反转效应比较显著。具体来说,买入赢者行业的收益贡献了大部分的超额收益,而卖出输者行业却不能获得正的超额收益,甚至会出现负的收益。从时间维度上来说,由于中国股市早期“政策市”现象比较明显,所以动量策略的超额收益不显著,但随着2008年金融危机以后,整体股市的持续疲软使得行业动量策略的超额收益凸显。另一方面,主板的行业动量效应比全体样本的行业动量效应来的弱,并在2010年以后逐渐消失,这表明中小板和创业板对行业动量效应的贡献越来越大。此外,周期性的行业对行业动量的贡献比非周期性行业来得大。本文还从跨期Fama-French三因子模型对行业动量效应的来源进行了分析,考察了公共因子对动量效应的作用。通过构建回归模型,本文发现公共因子对大多数行业动量的超额收益为1%下的显著性。市值因子对行业超额收益的作用最大,其次是账面市值因子,市场收益因子对行业超额利润率的作用最小。
[Abstract]:In 1970, Eugene Fama deepened and put forward the efficient Market hypothesis (EMH) theory. Efficient Marketing Hypothesis.The theory is the cornerstone of modern classical theory. It opens a new door for complex pricing models. Fama believes that excess returns are only compensation for the corresponding risks, and that investors in efficient markets cannot achieve sustained excess returns. Therefore, investors should adopt passive investment strategy. However, the discovery of some anomalies has brought great challenges to the efficient market theory, and the active investment strategy designed for the vision has emerged as the times require. Momentum strategy and reversal strategy are one of them. With the continued weakness of China's economy, the choice of good performance industries or emerging industries has become one of the important investment strategies of institutional investors in China. It is of great practical significance to study from the perspective of industry momentum. In this paper, we first use the equal-average weight method to synthesize the industry index. Then we use the research method of Moskowitz and Grinblattt 1999 to construct the industry momentum strategy. After comparing the yield of this strategy with the market rate of return, it is found that the momentum effect of industry exists in the short and long term in China, but it is significant in the medium term. The earnings of the buy winner industry contribute to most of the excess returns, while the sell losers industry does not achieve positive excess returns, or even negative returns. In terms of time dimension. As the early "policy market" phenomenon in China's stock market is obvious, the momentum strategy of excess returns is not significant, but with the financial crisis in 2008. On the other hand, the industry momentum effect of the main board is weaker than the industry momentum effect of all samples, and gradually disappeared after 2010. This indicates that the small and medium-sized board and the growth enterprise market to the industry momentum effect contribution is increasing. In addition. The contribution of periodic industries to industry momentum is greater than that of aperiodic industries. This paper also analyzes the source of momentum effect from the cross-period Fama-French three-factor model. The effect of common factors on momentum effect was investigated. A regression model was constructed. In this paper, we find that the public factor has a significant effect on the excess return of most industries under 1%. Market value factor has the greatest effect on the industry excess return, followed by the book market value factor. The market income factor has the least effect on the excess profit rate of the industry.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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