本文關(guān)鍵詞： 動(dòng)量效應(yīng) 行業(yè)動(dòng)量效應(yīng) 行為金融學(xué)　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：尤金·法瑪(Eugene Fama)于1970年深化并提出了有效市場假說理論EMH(Efficient Marketing Hypothesis)。該理論是現(xiàn)代經(jīng)典理論的基石,它為復(fù)雜的定價(jià)模型打開了一扇新的大門,Fama認(rèn)為超額收益只是對相應(yīng)風(fēng)險(xiǎn)的補(bǔ)償,在有效的市場中投資者無法獲得持續(xù)的超額收益,因此投資者應(yīng)該采取被動(dòng)投資策略。然而一些異象的發(fā)現(xiàn)給有效市場理論帶來了極大地挑戰(zhàn),針對異象而設(shè)計(jì)的主動(dòng)投資策略也應(yīng)運(yùn)而生,動(dòng)量策略和反轉(zhuǎn)策略就是其中的一員。隨著中國經(jīng)濟(jì)的持續(xù)疲軟,選擇表現(xiàn)好的行業(yè)或者新興行業(yè)已經(jīng)成為我國機(jī)構(gòu)投資者重要的投資策略之一,因此,從行業(yè)動(dòng)量的角度來進(jìn)行研究具有重要的現(xiàn)實(shí)意義。本文先將個(gè)股數(shù)據(jù)用等平均權(quán)重法擬合成行業(yè)指數(shù),再利用Moskowitz and Grinblatt(1999)的研究方法來構(gòu)建行業(yè)動(dòng)量策略；在用該策略的收益率與市場收益率進(jìn)行比較后發(fā)現(xiàn)：中國的行業(yè)動(dòng)量效應(yīng)存在于短期和長期,而在中期行業(yè)反轉(zhuǎn)效應(yīng)比較顯著。具體來說,買入贏者行業(yè)的收益貢獻(xiàn)了大部分的超額收益,而賣出輸者行業(yè)卻不能獲得正的超額收益,甚至?xí)霈F(xiàn)負(fù)的收益。從時(shí)間維度上來說,由于中國股市早期“政策市”現(xiàn)象比較明顯,所以動(dòng)量策略的超額收益不顯著,但隨著2008年金融危機(jī)以后,整體股市的持續(xù)疲軟使得行業(yè)動(dòng)量策略的超額收益凸顯。另一方面,主板的行業(yè)動(dòng)量效應(yīng)比全體樣本的行業(yè)動(dòng)量效應(yīng)來的弱,并在2010年以后逐漸消失,這表明中小板和創(chuàng)業(yè)板對行業(yè)動(dòng)量效應(yīng)的貢獻(xiàn)越來越大。此外,周期性的行業(yè)對行業(yè)動(dòng)量的貢獻(xiàn)比非周期性行業(yè)來得大。本文還從跨期Fama-French三因子模型對行業(yè)動(dòng)量效應(yīng)的來源進(jìn)行了分析,考察了公共因子對動(dòng)量效應(yīng)的作用。通過構(gòu)建回歸模型,本文發(fā)現(xiàn)公共因子對大多數(shù)行業(yè)動(dòng)量的超額收益為1%下的顯著性。市值因子對行業(yè)超額收益的作用最大,其次是賬面市值因子,市場收益因子對行業(yè)超額利潤率的作用最小。
[Abstract]:In 1970, Eugene Fama deepened and put forward the efficient Market hypothesis (EMH) theory. Efficient Marketing Hypothesis.The theory is the cornerstone of modern classical theory. It opens a new door for complex pricing models. Fama believes that excess returns are only compensation for the corresponding risks, and that investors in efficient markets cannot achieve sustained excess returns. Therefore, investors should adopt passive investment strategy. However, the discovery of some anomalies has brought great challenges to the efficient market theory, and the active investment strategy designed for the vision has emerged as the times require. Momentum strategy and reversal strategy are one of them. With the continued weakness of China's economy, the choice of good performance industries or emerging industries has become one of the important investment strategies of institutional investors in China. It is of great practical significance to study from the perspective of industry momentum. In this paper, we first use the equal-average weight method to synthesize the industry index. Then we use the research method of Moskowitz and Grinblattt 1999 to construct the industry momentum strategy. After comparing the yield of this strategy with the market rate of return, it is found that the momentum effect of industry exists in the short and long term in China, but it is significant in the medium term. The earnings of the buy winner industry contribute to most of the excess returns, while the sell losers industry does not achieve positive excess returns, or even negative returns. In terms of time dimension. As the early "policy market" phenomenon in China's stock market is obvious, the momentum strategy of excess returns is not significant, but with the financial crisis in 2008. On the other hand, the industry momentum effect of the main board is weaker than the industry momentum effect of all samples, and gradually disappeared after 2010. This indicates that the small and medium-sized board and the growth enterprise market to the industry momentum effect contribution is increasing. In addition. The contribution of periodic industries to industry momentum is greater than that of aperiodic industries. This paper also analyzes the source of momentum effect from the cross-period Fama-French three-factor model. The effect of common factors on momentum effect was investigated. A regression model was constructed. In this paper, we find that the public factor has a significant effect on the excess return of most industries under 1%. Market value factor has the greatest effect on the industry excess return, followed by the book market value factor. The market income factor has the least effect on the excess profit rate of the industry.
【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】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 魯臻;鄒恒甫;;中國股市的慣性與反轉(zhuǎn)效應(yīng)研究[J];經(jīng)濟(jì)研究;2007年09期

2 劉博;皮天雷;;慣性策略和反轉(zhuǎn)策略：來自中國滬深A(yù)股市場的新證據(jù)[J];金融研究;2007年08期

3 郭磊;吳沖鋒;劉海龍;;基于收益分解的股票市場動(dòng)量效應(yīng)國際比較[J];系統(tǒng)管理學(xué)報(bào);2007年02期

4 王志強(qiáng);王月盈;徐波;段諭;;中國股市動(dòng)量效應(yīng)的表現(xiàn)特征[J];財(cái)經(jīng)問題研究;2006年11期

5 徐信忠;鄭純毅;;中國股票市場動(dòng)量效應(yīng)成因分析[J];經(jīng)濟(jì)科學(xué);2006年01期

6 徐元棟;黃登仕;;動(dòng)量策略及反向策略研究評述[J];系統(tǒng)工程理論方法應(yīng)用;2005年04期

7 肖峻,陳偉忠,王宇熹;中國股市短期反轉(zhuǎn)策略實(shí)證研究[J];系統(tǒng)工程;2005年03期

8 李心丹;行為金融理論:研究體系及展望[J];金融研究;2005年01期

9 林松立,唐旭;中國股市動(dòng)量策略和反向策略投資績效之實(shí)證研究[J];財(cái)經(jīng)科學(xué);2005年01期

10 杜敏杰,林寅;行業(yè)動(dòng)量贏利性分析[J];經(jīng)濟(jì)與管理研究;2005年01期

相關(guān)碩士學(xué)位論文 前8條

1 蔣士杰;中國股市行業(yè)動(dòng)量效應(yīng)及其投資策略研究[D];復(fù)旦大學(xué);2012年

2 陳克;中國A股市場的行業(yè)動(dòng)量策略研究[D];復(fù)旦大學(xué);2012年

3 陳志崗;中國A股市場行業(yè)動(dòng)量效應(yīng)實(shí)證研究[D];華南理工大學(xué);2011年

4 王登元;中國股市中的行業(yè)動(dòng)量效應(yīng)研究[D];復(fù)旦大學(xué);2011年

5 李妍綺;證券市場的產(chǎn)業(yè)動(dòng)量和個(gè)股動(dòng)量效應(yīng)[D];南京理工大學(xué);2010年

6 石江偉;中國股市的行業(yè)動(dòng)量研究[D];汕頭大學(xué);2007年

7 樊澎濤;中國股市的行業(yè)動(dòng)量交易策略研究[D];重慶大學(xué);2006年

8 張華;基于中信標(biāo)普指數(shù)的行業(yè)動(dòng)量策略研究[D];華中科技大學(xué);2006年

，

本文編號：1467332