本文關(guān)鍵詞：基于“風(fēng)格”視角股票動(dòng)量效應(yīng)研究　出處：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 風(fēng)格 動(dòng)量效應(yīng) 市值與成交量 行為金融學(xué)

【摘要】：動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng)是股票價(jià)格變化的兩種形態(tài)。動(dòng)量效應(yīng)(或慣性效應(yīng))是指股票的收益具有延續(xù)性,即過去一段時(shí)間內(nèi),收益表現(xiàn)較好的股票在未來一段時(shí)間內(nèi)仍會(huì)獲得較好收益。反之,如果過去一段時(shí)間收益率較低的股票在未來卻獲得較高的收益率則稱為反轉(zhuǎn)效應(yīng)。動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng)都是通過分析歷史股價(jià)信息獲得超額收益的金融異象。早在Jegadeesh等人發(fā)現(xiàn)動(dòng)量效應(yīng)并震驚學(xué)術(shù)界之前,投資者已在投資實(shí)務(wù)中認(rèn)識(shí)到慣性效應(yīng)并加以利用。采用技術(shù)分析(價(jià)格沿趨勢(shì)運(yùn)動(dòng))實(shí)質(zhì)上也就承認(rèn)了股價(jià)有動(dòng)量效應(yīng)。不僅如此,實(shí)踐中,投資者還青睞于選擇如小市值,成長型,高換手等具有某一特征的股票。顯然,在投資實(shí)踐者的直觀感覺上,不僅有動(dòng)量效應(yīng),還可能存在“風(fēng)格”層面(簡稱風(fēng)格動(dòng)量效應(yīng))的動(dòng)量效應(yīng)。介于此,本文將從“風(fēng)格”動(dòng)量效應(yīng)研究入手,使用成交量和市值兩個(gè)指標(biāo)聯(lián)合劃分構(gòu)造復(fù)合風(fēng)格組合,考察從2011年1月初至2016年5月末風(fēng)格組合的動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng)表現(xiàn)。實(shí)證研究發(fā)現(xiàn),總體來說上,動(dòng)量效應(yīng)部分存在于形成期3-4周,持有期3-2周的策略上,但整體分布并不明顯。分時(shí)段研究發(fā)現(xiàn),在牛市中絕大多數(shù)策略不僅有正的超額收益率且統(tǒng)計(jì)量顯著,而在弱市中大多數(shù)策略收益率基本為負(fù),動(dòng)量效應(yīng)不顯著。對(duì)于動(dòng)量或反轉(zhuǎn)效應(yīng),傳統(tǒng)學(xué)者從多因素風(fēng)險(xiǎn)補(bǔ)償模型入手,認(rèn)為動(dòng)量組合的超額收益可能來源于其所承擔(dān)的風(fēng)險(xiǎn),其超額收益是對(duì)風(fēng)險(xiǎn)的補(bǔ)償,但風(fēng)險(xiǎn)補(bǔ)償模型不能很好對(duì)動(dòng)量效應(yīng)來源進(jìn)行解釋。行為金融學(xué)則認(rèn)為,動(dòng)量效應(yīng)是投資者異質(zhì)行為導(dǎo)致反應(yīng)不足或反應(yīng)過度現(xiàn)象而產(chǎn)生的。本文是基于行為金融學(xué)的BSV模型、DHS模型、HS模型,對(duì)第三章動(dòng)量效應(yīng)來源結(jié)果的進(jìn)行闡釋。
[Abstract]:The momentum effect or reversal effect are two forms of stock price changes. The momentum effect (or inertia effect) refers to the return of the stock with the continuity that over a period of time, good revenue performance shares in the next period of time will get better returns. On the contrary, if the rate of return is over a period of time low stocks could get higher yields is called the reversal effect in the future. Momentum or reversal effects are financial anomalies excess returns through the analysis of historical price information. Before Jegadeesh et al found the momentum effect and shocked academia, investors have in the investment practice recognized and utilized. The inertia effect technical analysis (the price along the trend movement) essentially admitted that the stock price momentum effect. Not only that, in practice, investors are also in favor of choice such as small market capitalization, high growth, change hands out There is a characteristic of stock. Obviously, in the intuitive sense of investment practitioners, not only has the momentum effect, there may also be a "style" (referred to as the style level momentum effect) of the momentum effect. Because of this, this paper will start from the "momentum effect research style", using volume and the market value of two indexes to divide structural composite the style of combination, the momentum effect is investigated from the early January 2011 to 2016 5 at the end of the style of combined or reverse effect performance. The empirical study shows that in general, the momentum effect exists in the formation period of 3-4 weeks, 3-2 weeks holding period strategy, but the overall distribution is not obvious. During the study found that in the bull market in most the strategy not only has excess rate of return and statistics was significant, but in the weak market most strategy the basic rate of return is negative, the momentum effect is not significant. The momentum or contrarian effect, the traditional scholars from many factors Starting with the risk compensation model, that the momentum portfolio's excess return may be derived from their risks, the excess return is compensation for the risk, but the risk compensation model cannot well explain the momentum source. Behavioral finance believes that the momentum effect is heterogeneous investment behavior lead to inadequate response or overreaction phenomenon this paper is produced. The BSV model of behavioral finance based on the DHS model, HS model, the third chapter of this paper illustrates the source of the momentum effect.

【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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