“动量交易策略”与“反转交易策略”国际实证比较研究

F830.91ComparativeStudyofMomentumStrategyandContrarianStrategyinInternationalSecurityMarketsZHAOZhen-quanDINGZhi-guoSUZhi(CenterforQuantitativeEconomicsJilinUniversityChangchun130012China)Abstract:AsveryimportantstrategiesbasedonOverreactionandUnderreaction,ContrarianStrategyandMomentumStrategyhaveprovidedkeyevidencesforpredictabilityofsecuritypriceandstandincontradictiontotheEfficientMarketHypothesis(EMH).ThepossibilityofthesestrategieshasbeencomparedinUS,UK,JapanandChinamarketsbyemployingCAR.Keywords:MomentumStrategyContrarianStrategyCAREfficientMarketDeBondtThaler(1985,1987)[1][2]35JegadeeshLehmann(1990)[3]16(reversaleffect)JegadeeshTitman(1993)[4]312(momentumeffect)(contrarianstrategy)(momentumstrategy)()()()AhmetNusert(1999)[5]Chang(1995)[6]HameedTing(2000)[7]Rouwenhorst(1998)[8]HameedYuanto(2000)[9]0102JAZJD790007)(1943)1Schiereck(1999)[10](1998)[11]481993619964722CAPM(1998)[12]12319931996(1999)[13]1996127199619951219961227(2001)[14]199319932000(2002)[15](2004)[16]CAPMFama-French19921999Fama(1991,1998)[17][18]DeBondtThaler(1985)AndreiShleifer(2000)[19]()()()()()()DeBondtThaler(1985)(arithmeticreturnscalculationmethodAR)Fama(1991)2(logarithmicreturnscalculationmethodLR)GishanDissanaike(1993)[20]Cambridge(multiplicativereturnscalculationmethodMR)DeBondtThaler(1985)()0()RRiitmttTCARRR=−=−∑1()TTTiitmttRR==−∑CAR(1)1111−−−≡−+≡itittitiititPPPPPR1111−−−≡−+≡mtmttmmtmtmtPPPPPR(2)RiCARiTiCARi,RTTTitPitmtPt(CAR)()(2))ln(ln11−−+≡itititPPR)ln(ln11−−+≡mtmtmtPPR(3)(buyandholdBH)mtTtitTtiRRRCAR∏∏−=−=−=00(4)∏∏==−=TtmtTtitiTRRCAR111111−−−≡−+≡itittitiititPPPPPR1111−−−≡−+≡mtmttmmtmtmtPPPPPR111(TTNBHitmtitt)ACARRRN===−∑∏∏(5)NARLRR1+(rR+=1)DLrrDLRR30.00.20.40.60.81.01.20369121518212427303336-.5-.4-.3-.2-.1.0.1.204812162024283236-.2-.1.0.1.2.30369121518212427303336ARLRMR13611996131S&P500FTSE350Nikkei225A199612003129620031231S&P500411FTSE350270Nikkei225207A298ABloomberg(DeBondtThaler(1987),TowSiewMarkHon(2001)[21])(temporalanomalies)(thejanuaryeffect)()19961200312963361361224366060604836Q3431252525FTSE350FTSE3504(25)(0.40(t=6.38);0.46(t=5.71);0.57(t=4.48);0.99(t=31.48))(21)-.1.0.1.2.3.4.503691215182124273033363942454851545760-.1.0.1.2.3.4.503691215182124273033363942454851545760-.1.0.1.2.3.4.5.603691215182124273033363942454851545760-0.20.00.20.40.60.81.01.203691215182124273033363FTSE3502FTSE3505FTSE3504FTSE350(69)FTSE3500.99(t=31.84)A0.28(t=5.92)Nikkei225S&P5000.45(t=9.89)0.61(t=25.10)5-.1.0.1.2.3.4.5.6.70369121518212427303336-0.20.00.20.40.60.81.01.20369121518212427303336.0.1.2.3.4.50369121518212427303336-.2-.1.0.1.2.30369121518212427303336T6S&P5007FTSE35098Nikkei225[1]FMDeBondtandRThalerDoestheStockMarketOverreact?[J]TheJournalofFinance198540793-805[2]FMDeBondtandRThalerFurtherEvidenceonInvestorOverreactionandStockMarketSeasonality[J]TheJournalofFinance198742(3)557-5816[3]NJegadeeshEvidenceofPredictableBehaviorofSecurityReturns[J]JournalofFinance199045881–898[4]NJegadeeshandSTitmanReturnstoBuyingWinnersandSellingLosersImplicationsforStockMarketEfficiency[J]JournalofFinance19934865–91[5]BAhmetandCNusretDoMarketsOverreact?InternationalEvidence[J]JournalofBankingandFinance1999231121–1144[6]RPChangDWMcLeaveyandSGRheeShort-termAbnormalReturnsoftheContrarianStrategyintheJapaneseStockMarket[J]JournalofBusinessFinanceandAccounting1995221035–1048[7]AHameedandSTingTradingVolumeandShort-horizonContrarianProfitsEvidencefromMalaysianStockMarket[J]Pacific-BasinFinanceJournal2000867–84[8]KGRouwenhorstInternationalMomentumStrategies[J]JournalofFinance199853267–284[9]AHameedandKYuantoMomentumStrategiesEvidencefromthePacificBasinStockMarkets[Z]WorkingPaper2000[10]DSchiereckWDeBondtandMWeberContrarianandMomentumsStrategiesinGermany[J]FinancialAnalystsJournal199955104–116[11][J]1998(5)58-64[12]-[J]1998(7)41-49[13][J]1999221-26[14][J]2001(6)56-61[15][J]2002(5)30-36[16][J]2004(3)55-64[17]EFamaEfficientCapitalMarkets[J]JournalofFinance199125388[18]EFamaMarketefficientlong-termreturnsandbehavioralfinance[J]JournalofFinancialEconomics199849283-306[19]AndreiShleiferInefficientMarketsAnIntroductiontoBehavioralFinance[M]OxfordOxfordUniversityPress2000108-148[20]GishanRomeshDissanaikeTheOverreactionHypothesisandStockMarketEfficiency[D]CambridgeThesisforPhddegreeofCambridgeUniversity1993[21]TowSiewMarkHonAspectsofMarketEfficiencyAnInvestigationofUKEquityMarket[D]BristolThesisforPhddegreeofUniversityofBristol200157-687