本文選題：動量效應(yīng) + 現(xiàn)金分紅��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：本文目的在于通過驗證和分析滬深300指數(shù)樣本股票中動量效應(yīng)的存在,探索中國A股市場分紅政策、個股市場權(quán)重分布的特殊性對于動量策略效果的影響。 首先,本文介紹了相關(guān)傳統(tǒng)金融經(jīng)濟學(xué)理論,包括有效市場假設(shè)(EMH)、傳統(tǒng)CAPM模型及其擴展。參考Jegadeesh和Titrman(1993)中的方法,我們構(gòu)建投資策略J/K/Type,其中J和K分別代表"Sorting Period"和"Holding Period",而參數(shù)Type的設(shè)定是為了研究現(xiàn)金分紅對于策略J/K結(jié)果的影響,可以取0和1,Type取值的不同主要是為了區(qū)分策略構(gòu)建中使用個股收益率的差異。我們使用CSMAR中國股票市場數(shù)據(jù)庫中2005年5月到2011年12月的個股月收益率和收盤價,通過改變參數(shù)J和K的值,驗證了動量效應(yīng)在中國股市的存在性。接下來,本文結(jié)合滬深300指數(shù)編制細則、中國A股市場現(xiàn)狀,分別從現(xiàn)金分紅、個股權(quán)重和個股β系數(shù)的角度對不同參數(shù)的J/K/Type策略進行了分析。 通過分析不同投資組合的月平均收益,我們并沒有發(fā)現(xiàn)滬深300指數(shù)成份股中存在明顯的動量效應(yīng),相反的,對于策略J/K,我們一致得到了"Losers beat Winners"的結(jié)論。另外,"Winners"組合和"Losers"組合的月平均收益隨著J和K取值的改變也呈現(xiàn)一定的規(guī)律性："Sorting Period" J越短,"Holding Period" K越長,投資組合收益率高的可能性較大。本文還考慮到中國股票市場上存在的分紅制度不規(guī)范、權(quán)重股嚴重等不同于歐美等發(fā)達國家成熟市場的特點,對中國股市不存在動量效應(yīng)的論斷提出質(zhì)疑,提出動量效應(yīng)的驗證還需要考慮分紅、個股權(quán)重、樣本范圍等其他因素的影響,并分別從實證和理論角度分析了個股權(quán)重與個股β系數(shù)之間的關(guān)系以及權(quán)重股對于其他股票β系數(shù)的影響。我們發(fā)現(xiàn)隨著個股平均市場權(quán)重的增大,個股平均β系數(shù)呈現(xiàn)先增大后減小,而且當(dāng)個股權(quán)重達到一定比例后,β系數(shù)小于1的概率隨著成分股流通股在市場組合中權(quán)重的增加而增大。
[Abstract]:The purpose of this paper is to verify and analyze the existence of momentum effect in the sample stock ticket of CSI 300 index, and to explore the effect of the dividend policy and the special weight distribution of the individual stock market on the momentum strategy effect in China's A-share market. Firstly, this paper introduces the traditional financial economics theory, including efficient Market hypothesis (EMH), traditional CAPM model and its extension. Referring to the method in Jegadeesh and Titrman (1993), we construct the investment strategy J / K / Type. where J and K represent "sorting period" and "holding period" respectively, and the parameter Type is set to study the effect of cash dividend on the results of the strategy J / P K. The difference between 0 and 1T can be used to distinguish the differences in the return rate of individual stocks used in strategy construction. We use CSMAR Chinese stock market database from May 2005 to December 2011 to verify the existence of momentum effect in Chinese stock market by changing the values of parameters J and K. Then, combining with the detailed rules of Shanghai and Shenzhen 300 index and the current situation of China's A-share market, this paper analyzes the different parameters of J / K / Type strategy from the perspectives of cash dividend, weight of individual stock and 尾 coefficient of individual stock. By analyzing the average monthly returns of different portfolios, we do not find that there is a significant momentum effect in the CSI 300 index. On the contrary, for the strategy J / K, we all get the conclusion of "Los beat wins". In addition, the monthly average returns of "winners" and "Losers" also show certain regularity with the change of J and K values: the shorter the "sorting period" J, the longer the "holding period" K, and the higher the return probability of the portfolio. This paper also takes into account the characteristics of the non-standard dividend system and heavy stock market in China, which are different from the mature markets in developed countries such as Europe and the United States, and questions the conclusion that there is no momentum effect in China's stock market. It is pointed out that the validation of momentum effect also needs to consider other factors, such as dividend, weight of individual stock, sample scope, etc. The relationship between the weight of individual stock and the 尾 coefficient of individual stock and the influence of weight on the 尾 coefficient of other stocks are analyzed respectively from the perspective of empirical and theoretical analysis. We find that with the increase of the average market weight of individual stock, the average 尾 coefficient of individual stock increases first and then decreases. When the weight of each stock reaches a certain proportion, the probability of 尾 coefficient less than 1 increases with the increase of the weight of the tradable stock in the market portfolio.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：2112690