中国股市动量策略和反向策略投资绩效的研究

华中科技大学硕士学位论文中国股市动量策略和反向策略投资绩效的研究姓名：吴伟申请学位级别：硕士专业：企业管理指导教师：王宗军20060428I1996.12004.62003152003.12005.6IIAbstractBehavioralFinanceTheoryisnewresearchhotnessinthefieldoffinance,whichinvestigatestherelationshipbetweenirrationalbehaviorsandtheperformanceofstockmarket.Theresearchconclusionsmostlycomefrommaturemarkets,suchasAmerica.Butirrationalbehaviorsshouldhavemuchgreaterinfluenceontheperformanceinemergingmarkets,suchasChina.Inaddition,withthematurityofSecuritiesLaw,thetraditionmeasurestogetexcessprofitshavebecomeineffectiveinChinastockmarket.Thepotentinvestmentstrategiesbecomemuchmoreimportanttoinvestors.Goingonthesepremises,researchesonthevalidityofmomentumstrategiesandcontrarianstrategiesandperformanceofthesestrategies,inChinastockmarket,areveryurgent.Thispaperfirstintroducesthediscussionamongefficiencyofthemarketandsomefinancialanomalies,especiallybasedonunder-reactionandover-reaction.Thenwesummarizethestudiesonit.Second,weexaminewhetherthemomentumstrategiesandcontrarianstrategiescancreatesignificantprofitsunderdifferentformulationhorizonsandholdinghorizonsbyusingthemonthexchangedatasince1996.1to2004.6.Then,wemakeaqualitydiscussofthereasonsforthesignificantprofitsofstrategies.Intheendwithimprovedtheevaluationofinvestmentstrategiesmodelandtheevaluationofperformancemodel,westudywhethertheinvestmentstrategiesof15open-endedfundsinChinaaremomentumstrategiesorcontrarianstrategiessince2003.1to2005.6andwhichstrategiescancreatebetterinvestmentperformance.ThemainconclusionsareasfollowsFirst,wefindthecontrarianstrategiesaremoresuccessfulinChinaasawholeandthecharacterofChinastockmarketplayaveryimportantrole.Second,wefindthatopen-endedfundspreferthemomentumstrategiesbasingontherecentprofitofholdingstocks,butpreferthecontrarianstrategiesbasingonthepastprofit.KeywordsOpen-endedFundsMomentumStrategiesContrarianStrategiesInvestmentPerformanceEvaluation111.1ModernFinance1PortfolioEfficientFrontier2MarketPortfolioCAPM330Roll1977[1]2ConradKaul1998[2]Chan1988[3]JegadeeshTitman2001[4]Zarowin1990[5]MoskowitzGrinblatt1999[6]ConradKaul1998JegadeeshTitman2001BehavioralFinanceTheoryBehavioralFinanceFunds1.231-l1-1422.1EMHFama1970[7]FamaEMHEMH1WeakFormofTheEMH2Semi-StrongFormofTheEMH3StrongFormofTheEMH5Fama1992[8]CAPMSharpe1964APTRoss1972FamaFrench1995-2.21FischerBlack1986[9]KahnemanRiepe1998BayersFramingVonNeumann-MorgensternKahnemanTversky1979ProspectTheory6Non-BayesianForecasting2Shiller198432.371FrenchRoll1986FamaFrench1988PoterbaSummers1988CutlerPoterbaSummers19913-5JegadeeshTitman1993[10]6LoMackinley1988[11]13-53-121-123-5Fama19982FamaBSVBarberisShleiferVishny1998[12]DHSDanielHirshleiferSubrahmanyam1998[13]HSHongStein1999[14]81BSVOverReactionBSVRandomWalkAABBB2DHSInformedUninformedOverConfidenceBiasedSelfAttributionDHS3HS9NewsWatchersMomentumTradersHongLimStein2000HongStein2.41[15]GrahamDodd1934H.Markowitz1952PortfolioInsuranceFama197010PIEEffectSmall-FirmEffectBook-to-MarketEffectsBasu197770Banz19818090198219261982FamaFrench19922MomentumStrategiesContrarianStrategies2-5LosersPortfolioWinnersPortfolio8%DeBondtThaler1985[16]Merton1987Fama1991DeBondtThaler1985Chan1988CAPMChopraLakonishokRitter199255510%LoMackinlay1990[17][18]11LoMackinlayAt1BttABJegadeeshTitman1992LoMackinlay1990LoMackinlayJegedeeshTitman19933-12Rouwenhorst1998[19]1978-199512219012199019951%LiewVassalou2000CharsJegedeeshLakonishok1996MoskowitzGrinblatt1999[20]ConradKaul1998JegedeeshTitmam2001[21]9019931231998[22]1999[23]2001[24]1993-20002002[25]JegadeeshTitman19931995-20002003[26]A2003[27]10%2003[28]1/32004[29]20001200341801802004[30]1995-2002132004[31]A143LoMackinlay1990aConradKaul1998ChouChung1999[32]GrinblattTitmanWermers1995[33]GrinblattTitman1993[34]3.11DeBondtThaler19851987Chan1988JegadeeshTitman19932001DTLoMackinlay1990Lehman1990[35]ConradKaul1998ChouChung1999LMDTt)(tΩ[]ttt,1Δ-)(tΩ?(t)?=[]ttt,1Δ-i)(1tRittΔΔ-)(tiΩ∈[]ttt,1Δ-)(tΩ1015)(1tA)(2tA)(10tA)(1tA)(10tA⎩⎨⎧∉∈=)(0)(1)(11tAitAiifw3-1⎩⎨⎧∉∈=)(0)(1)(1010tAitAiifl3-2[]2,tttΔ+∑∑Ω∈Ω∈Δ=Δ)()(22)()()()(tiwtiitwwtiftRiftp3-3[]2,tttΔ+∑∑Ω∈Ω∈Δ=Δ)()(22)()()()(tiltiitlltiftRiftp3-4[]2,tttΔ+)()()()(22tNtRttiitmt∑Ω∈Δ=Δp3-5)(2tmtΔp[]2,tttΔ+[]2,tttΔ+)()()(~222tttmtwtwtΔ-Δ=Δppp3-6[]2,tttΔ+)()()(~222tttmtltltΔ-Δ=Δppp3-716[]2,tttΔ+)()()(222tttwtltctΔ-Δ=Δppp3-80)~()~(==ltwtEEpp3-9⎩⎨⎧0)~(0)~(ltwtEEpp3-10)~~()()(wtltwtltctEEEppppp-=-=3-112SH1stSts-Sts-stS21P2P10P1P10P3stHts+tsiri=1…104sstΔ+sΔ3-13-23-1173-212313691224361369122436491369122436tNeweyWest1987[36]3.23.2.1GrinblattTitmanR.Wermers19951kt-i,R~)1t-i,?~iT1tti,?~(n1iiT1M+∑=-∑==3-1218ti,?~ti1kt-i,R~+t–kt–k+1iniTiit–kt–k+11kt-i,R~+0i1t-i,?~ti,?~-0iMit-kt–k+11kt-i,R~+0i1t-i,?~ti,?~-0iM1kt-i,R~+01t-i,?~ti,?~-0iM1kt-i,R~+01t-i,?~ti,?~-0iMMMMkkk=0k=1k=00MB0MiS0Mik=11MB1MiS1MitM190H1HnMs0AVEM0t-=3-13AVEMMsntSignTest221s0ssn)sP(s⎟⎠⎞⎜⎝⎛∑*=⎟⎟⎠⎞⎜⎜⎝⎛=*≤3-14*sMnP2a2000[37]MBMSMti,?~1t-i,?~1kt-i,R~)1t-i,?~iT1tti,?~(n1iiT1BM+∑=-∑==3-15ti,?~1t-i,?~1kt-i,R~)1t-i,?~iT1tti,?~(n1iiT1SM+∑=-∑==3-163-12203.2.23-123-153-16ti,?~ti1t-i,?~ti,?~-t-1tiiiti1kt-i,R~)1t-i,HiT1tti,(Hn1iiT1M+∑=-∑==