本文選題：風(fēng)格投資　切入點(diǎn)：協(xié)同性　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著金融市場的繁榮,資產(chǎn)管理產(chǎn)業(yè)的進(jìn)一步發(fā)展,風(fēng)格投資(StyleInvesting)作為一種高效的資產(chǎn)配置受到越來越多的關(guān)注。歐美市場研究發(fā)現(xiàn),風(fēng)格投資組合具有顯著的動(dòng)量效應(yīng)(Momentum),而且這一投資組合層面的動(dòng)量效應(yīng)將進(jìn)一步影響到組合內(nèi)部個(gè)股的動(dòng)量效應(yīng),并引發(fā)組內(nèi)個(gè)股間的收益波動(dòng)協(xié)同性。風(fēng)格投資歷史收益對(duì)個(gè)股未來收益是否有預(yù)測能力?投資者如何利用已知風(fēng)格投資組合的表現(xiàn)構(gòu)造策略套利?這是本文研究的兩個(gè)問題。 本文通過Fama-Macbeth橫截面回歸模型發(fā)現(xiàn),在中國市場,風(fēng)格投資歷史收益具有顯著為正的系數(shù)估計(jì),而個(gè)股自身歷史收益對(duì)應(yīng)系數(shù)不顯著。因此本文認(rèn)為風(fēng)格投資的歷史收益對(duì)于個(gè)股未來收益表現(xiàn)有一定預(yù)測能力。 同時(shí),本文利用風(fēng)格投資的動(dòng)量效應(yīng)構(gòu)建月度套利策略,并發(fā)現(xiàn)：中國的風(fēng)格投資動(dòng)量效應(yīng)存續(xù)期較短；投資者可以通過在短期內(nèi)(3個(gè)月)買入歷史收益較好風(fēng)格投資組合(贏家),賣出歷史收益較差組合(輸家),獲得顯著正收益；策略進(jìn)一步加入風(fēng)格投資組合內(nèi)協(xié)同性因子(Comovement)構(gòu)造對(duì)角策略后,發(fā)現(xiàn)買入?yún)f(xié)同性高的贏家-輸家組合,賣出協(xié)同性低的贏家-輸家組合亦可以取得顯著正收益,并且這一策略在中長期更穩(wěn)定。本文同時(shí)發(fā)現(xiàn),對(duì)于周度數(shù)據(jù),上述現(xiàn)象依然存在。 因此,本文認(rèn)為不僅風(fēng)格投資組合歷史收益對(duì)于個(gè)股未來收益波動(dòng)有預(yù)測性,個(gè)股與組合的協(xié)同性作為甄別其與風(fēng)格投資組合相似程度的變量,對(duì)于個(gè)股未來走勢同樣具有一定解釋度,對(duì)投資者資產(chǎn)配置有指導(dǎo)性。另一方面,中國市場動(dòng)量效應(yīng)顯示出存續(xù)期短,且無短期收益反轉(zhuǎn)的現(xiàn)象,這些結(jié)論都與成熟市場研究發(fā)現(xiàn)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.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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