本文選題：超額收益 + 可預(yù)測性��； 參考：《復(fù)旦學(xué)報(bào)(社會科學(xué)版)》2013年06期

【摘要】：本文首先通過在三個(gè)限制變量(M1月環(huán)比增長率、CPI月環(huán)比增長率和銀行間市場回購利率)之中選取變量來構(gòu)建預(yù)測模型,檢驗(yàn)中國股票市場的可預(yù)測性在統(tǒng)計(jì)上是否顯著;之后將交易成本和各種交易限制納入考慮,通過最大化投資者效用,基于不同的預(yù)測模型進(jìn)行實(shí)時(shí)環(huán)境下的資產(chǎn)組合配置,并考察統(tǒng)計(jì)顯著性和投資績效之間的關(guān)系。研究表明,中國股市超額收益與M1月環(huán)比增長率之間具有穩(wěn)定而顯著的線性關(guān)系。在短期內(nèi),統(tǒng)計(jì)顯著性與優(yōu)化的投資績效之間并非完全相關(guān),而長期內(nèi),依據(jù)M1月環(huán)比增長率構(gòu)建預(yù)測模型的投資策略可能帶來良好的績效。
[Abstract]:In this paper, we first choose the variables among the three limiting variables: M1 monthly ratio, CPI monthly ratio and interbank repo rate, to test whether the predictability of Chinese stock market is statistically significant. Then the transaction cost and various transaction restrictions are taken into account. By maximizing investor utility portfolio allocation in real time environment is carried out based on different forecasting models and the relationship between statistical significance and investment performance is investigated. The study shows that there is a stable and significant linear relationship between the excess return and the growth rate of M1 month ratio. In the short term, the statistical significance is not completely related to the optimal investment performance, but in the long run, the investment strategy based on M1 monthly ratio growth rate may bring good performance.
【作者單位】： 復(fù)旦大學(xué)國際金融系;
【基金】：國家自然科學(xué)基金項(xiàng)目“公開信息沖擊下的投資者交易策略高階期望及其實(shí)證分析”(項(xiàng)目批準(zhǔn)號:70671027)的資助
【分類號】：F832.51;F224

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本文編號：1908014