论文部分内容阅读
动量效应是金融学界关注的焦点问题。本文对不同存续期公司股价动量效应进行研究,发现短存续期公司股价动量效应显著强于长存续期公司股价的动量效应。本文依据H S理论对此现象进行实证分析后发现:我国投资者对不同存续期股票投资行为的差异是造成不同存续期股票股价动量效应差异的原因。最后,本文构建基于不同存续期公司股价动量效应差异的投资策略,并对其历史表现实证分析后发现该策略,可以获取优于市场组合的显著收益。
Momentum effect is the focus of attention of financial scholars. In this paper, we study the momentum effect of stock price in different duration and find that the stock price momentum effect of short duration stock is significantly stronger than the momentum effect of stock price of long duration stock. The empirical analysis of this phenomenon based on the H S theory shows that the differences of the investors’ investment behavior in different durations are the reasons for the difference in the momentum effect of stocks with different durations. Finally, this paper constructs an investment strategy based on the difference of the momentum effect of the stock price of different surviving companies. After the empirical analysis of its historical performance, we find that this strategy can obtain significant returns superior to the market portfolio.