This study mainly investigates the investment performance of momentum strategies and contrarian strategies and the mode of information response in china stock market . there are four purposes in this paper 本文主要研究中國股票市場的慣性與反向效應的獲利模式、獲利成因以及獲利的時序特性,進而深入探討中國股市之特殊的信息反應模式。
Compared with tranditional materials , electromagnetic waves transmitted in such material will behave some fantastic phenomena , such as negative snell refraction , reversed dollper effect , reversed cerenkov radition , and so on 電磁波在這種介質中傳播時將顯現與通常介質不同的各種逆向或反向效應,如負折射效應、逆多普勒效應、逆切侖科夫輻射等等。
First , we examine whether the momentum strategies and contrarian strategies can create significant profits under different formulation horizons and holding horizons , whether past factors ( market return , characteristic of individual stock ) can provide an important implication about the profits of momentum and contrarian strategies . second , we discuss the reasons for the significant profits of momentum or contrarian strategies , including seasonality , cross - sectional risk factors , time - varying risk premium , industry momentum , and stock underreaction , overreaction , and random walk . third , we discuss the link of time series predictability of stock returns and momentum profits , including stock underreation , overreaction , delayed reaction , and time - varying risk premium 研究目的有四:其一,探討中國股市執行慣性策略或反向策略的顯著獲利模式及與各狀態因子(市場及個股狀態)的關系;其二,全面分析中國股市慣性與反向效應之潛在成因,包括截面風險因素、季節因素、時變的風險溢價、行業慣性效應以及行為金融模型與conradandkaul ( 1998 )的隨機游走觀點之爭論;其三,構建非效率市場之股票價格運動方程,并基于此,規范地演進慣性效應之時序生成途徑,包括反應不足、過度反應、滯后反應以及風險溢價的時變性;其四,探討中國股市中投資者的特殊信息反應模式,并以此來解讀中國股市的中短期過度反應與反應不足的現象,以及個股間的超前一滯后關系的表現模式及形成機理。
Second , for the reasons of the profits of the momentum or contrarian strategies , we find : ( 1 ) momentum or contrarian strategies exhibit an interesting pattern of seasonality in china stock market different from january effect found in mature market , which seems to exist a link with the cycle of disclosure of accounting information for fiscal year 其二,就中國股市中慣性與反向效應之潛在成因而言, ( 1 )中國股市的慣性與反向效應表現出特殊的季節效應特征,似乎更有可能與上市公司目前的年報報表披露周期所形成的平均循環長度相關聯。