本文關(guān)鍵詞： 收益反轉(zhuǎn) 行業(yè)分類 盈余公告 訂單流不平衡　出處：《數(shù)學(xué)的實(shí)踐與認(rèn)識(shí)》2017年13期 　論文類型：期刊論文

【摘要】：研究我國(guó)A股市場(chǎng)更廣泛存在的短期反轉(zhuǎn)收益——月度行業(yè)內(nèi)反轉(zhuǎn)收益.行業(yè)內(nèi)反轉(zhuǎn)收益是傳統(tǒng)的非條件反轉(zhuǎn)收益在行業(yè)維度上的分解收益.非條件反轉(zhuǎn)被定義為沒(méi)有加入行業(yè)風(fēng)格的反轉(zhuǎn)策略,它是指單純的買入基本面輸家組合與賣出基本面贏家組合的反轉(zhuǎn)策略.相對(duì)于非條件反轉(zhuǎn)策略,行業(yè)內(nèi)反轉(zhuǎn)策略收益表現(xiàn)更加良好,甚至在高流動(dòng)性,大市值股票樣本中仍然能獲得顯著的α收益.從投資者對(duì)公開(kāi)信息的反應(yīng)以及訂單流不平衡兩個(gè)角度探究月度行業(yè)內(nèi)反轉(zhuǎn)收益的來(lái)源,發(fā)現(xiàn)行業(yè)內(nèi)反轉(zhuǎn)主要受到訂單流不平衡的驅(qū)使,而不是由于投資者對(duì)公開(kāi)信息的過(guò)度反應(yīng).
[Abstract]:Returns: Monthly short-term reversal in the industry contrarian more extensive research in China A stock market. The industry contrarian is unconditional contrarian decomposition proceeds in traditional industry dimensions. Non conditional inversion is defined as the reverse strategy did not join the style of the industry, it is to buy the fundamentals of loser portfolio and simple sell the fundamentals of the winner portfolio strategy. Compared with the non inversion conditions contrarian strategy, industry gains in performance better, even in high mobility, can still obtain alpha gain significant market value of stocks in the sample. From the investment of public information and the reaction order imbalance from two angles of the monthly industry in the inversion of income, found in the industry are mainly affected by the reversal of order imbalance driven, rather than because investors overreact to public information.

【作者單位】： 中國(guó)科學(xué)院大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【分類號(hào)】：F832.51
【正文快照】： 1引言股票市場(chǎng)的短期反轉(zhuǎn)策略在學(xué)術(shù)界一直被廣泛地關(guān)注.反轉(zhuǎn)策略是指做多過(guò)去表現(xiàn)差的股票,同時(shí)做空過(guò)去表現(xiàn)好的股票.與之相對(duì)應(yīng)的是動(dòng)量策略,它是指做多過(guò)去表現(xiàn)好的股票,同時(shí)做空過(guò)去表現(xiàn)差的股票.反轉(zhuǎn)效應(yīng)與動(dòng)量效應(yīng)在不同國(guó)家普遍存在,但收益表現(xiàn)以及持續(xù)周期在不同市場(chǎng)，

本文編號(hào)：1455220