本文選題：動(dòng)量收益 + 收益率��； 參考：《南京理工大學(xué)》2014年碩士論文

【摘要】：有效市場理論認(rèn)為,在一個(gè)有效市場上,股票價(jià)格反映了它所包含的所有信息。但是現(xiàn)實(shí)股票市場出現(xiàn)的嚴(yán)重股票異象—?jiǎng)恿啃?yīng)以及反轉(zhuǎn)效應(yīng),對(duì)有效市場理論提出了嚴(yán)重的挑戰(zhàn)。研究股市的動(dòng)量收益不僅具有理論意義更具有實(shí)踐指導(dǎo)意義：一方面有助于發(fā)展有效市場理論和行為金融理論,對(duì)股票價(jià)格的變動(dòng)作出更加合理的解釋。另一方面通過發(fā)現(xiàn)股價(jià)變動(dòng)的相關(guān)規(guī)律,找到現(xiàn)實(shí)投資中可以獲得正收益的投資策略。 在介紹了論文的研究背景并對(duì)相關(guān)研究文獻(xiàn)進(jìn)行歸納、綜述之后,本文以1995年4月到2013年3月為研究區(qū)間,以滬市A股為研究樣本,采取實(shí)證分析的方法對(duì)我國股市的動(dòng)量收益進(jìn)行了研究。在存在性檢驗(yàn)基礎(chǔ)上文章選取動(dòng)量收益較大的投資策略進(jìn)一步進(jìn)行了動(dòng)量收益來源的研究。本文從流動(dòng)性、風(fēng)險(xiǎn)因素、宏觀經(jīng)濟(jì)三個(gè)方面對(duì)動(dòng)量收益進(jìn)行解釋。文章以換手率作為流動(dòng)性變量,Fama和French的三因子模型作為風(fēng)險(xiǎn)模型,并選取了6個(gè)宏觀經(jīng)濟(jì)變量構(gòu)建多元線性回歸�；貧w結(jié)果發(fā)現(xiàn)流動(dòng)性和動(dòng)量收益具有負(fù)相關(guān),而三因子模型中只有規(guī)模因子對(duì)動(dòng)量收益具有正相關(guān)。宏觀因子中固定資產(chǎn)投資和工業(yè)增加值對(duì)動(dòng)量收益具有解釋力度。
[Abstract]:Efficient market theory holds that in an efficient market, the stock price reflects all the information it contains. However, the serious stock aberration-momentum effect and reverse effect in the real stock market pose a serious challenge to the efficient market theory. On the one hand, it is helpful to develop efficient market theory and behavioral finance theory, and to explain the change of stock price more reasonably. On the other hand, we find out the relevant law of stock price change, and find out the investment strategy in which positive income can be obtained in real investment. After introducing the research background of the thesis and summarizing the relevant research literature, this paper takes April 1995 to March 2013 as the research interval, and takes the A shares of Shanghai Stock Exchange as the research sample. The momentum return of China's stock market is studied by means of empirical analysis. On the basis of existence test, this paper studies the source of momentum income by selecting the investment strategy with large momentum return. This paper explains momentum gains from three aspects: liquidity, risk factors and macro economy. This paper takes turnover rate as liquidity variable Fama and French's three-factor model as risk model, and selects six macroeconomic variables to construct multivariate linear regression. The regression results show that there is a negative correlation between liquidity and momentum return, while in the three-factor model, only the scale factor has a positive correlation with momentum return. Macroscopical factors such as fixed assets investment and industrial added value explain momentum gains.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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