基于中信标普指数的行业动量策略研究

华中科技大学硕士学位论文基于中信标普指数的行业动量策略研究姓名：张华申请学位级别：硕士专业：企业管理指导教师：王向阳20060429I19972004300LoandMackinlay(1990)IIAbstractMomentumeffectisahotdebatebetweenClassicalFinanceTheoryandBehavioralFinanceTheory.Researchonmomentumcanhelpinvestorsacknowledgepricebehaviorandmakemoreeffectiveinvestmentstrategiestoacquirehigherreturns.Thisisimportantandsignificantforchina’simmatureandburgeoningstockmarket.Inthispaper,weinvestigateintotheindustrymomentumstrategiesbasedontheS&P/CITIC300indexdatafrom1997to2004.Theempiricalfindingsconfirmthesignificantplusabnormalprofitofshort-termindustrymomentumstrategies,evenincludingthefactoroftradingcostandrisk.Especially,theindustrymomentumstrategieshavecloserelationwiththestockmarkettrend.Thesensitivityofthismomentumprofittotheevaluationperiodisalwayslowerthanittotheholdingperiod.Then,wediscussthesourceoftheprofitintheframeofClassicalFinanceTheoryandBehavioralFinanceTheorytoguideinvestmentinthefuture.IntheframeofClassicalFinanceTheory,weimproveonthemodelofLoandMackinlay(1990).Theempiricalresultsshowthatboththecross-sectionalvariationandtimeseriespredictabilityhavesignificantcontributiontotheprofitabilityofindustrymomentum.Comparedwiththeforeignstockmarket,china’sstockmarketshowsbiggercross-sectionalvariation,whichindicatesthattheriskofchina’sstockmarketishigherthanforeignmarkets’.BasedontheBehavioralFinanceTheory,weanalyzethebehavioralcharacterizeoftheinvestorsinchina’sstockmarket.WefindthattheChineseinvestorshaveobviousover-speculationbiasandherdbehavioralbias.Moreimportantly,theChineseinstitutioninvestorshavethespecialbiasof“BeingtheBanker”andtheindividualinvestorsusuallyfollowthebanker.Keywords:MomentumStrategyIndustryPortfoliosBehavioralMistakesBehavioralFinance_____111.1EMHEfficientMarketingHypothesis206070EMHDeBondtandThaler(1985[1],1987[2])19261982CAR353524.6%DeBondtandThaler(1985)[1]JegadeeshandTitman(1993)[3]31210%10%3-12AlonsoandRubio(1990)[4]Costa(1994)[5]19861998Changetal.(1995)[6]AhmetandNusret(1999)[7]72Foerster,AnoopandSchmitz(1995)[8]Schiereck,DeBondtandWeber(1999)[9]Rouwenhorst(1998)[10]12Rouwenhorst(1999)[11]206ConradandKaul(1998)[12](UnderReaction)OverReaction1.2DataMining19972004LoandMackinlay(1990)[13]3LoandMackinlay(1990)[13]1.3300/LoandMackinlay(1990)[13]4ConradandKaul(1998)[12]522.12.1.1JegadeeshandTitman(1993)[3]1965-198931210%10%3-12ConradandKaul(1998)[12]19261989(NYSE)(AMEX)64(3-12)19481989FamaandFrench(1996)[14]Rouwenhorst(1998)[10]1219801995121%MarkHonandIanTonks(2001)[15]19551996Schiereck,DeBondtandWeber(1999)[9]HameedandYuanto(2002)[16]ChordiaandShivakumar(2002)[17]JegadeeshandTitman(1993)[3]61413JegadeeshandTitman(2001)[18]1990-1998519932.1.2(2001)[19]199412200011A2001[20]19932002[21]1995-20002003[22]1997-2002342AKangLiuandNi(2002)[23]19931—200112681—1212—262003[24]1995—200147OkunevandWhite(2001)[25]2.2CAPM2.2.1Fama1998[26]JegadeeshandTitman(1993)[3]ConradandKaul(1998)[12]ChordiaandShivakumar(2002)[17]MoskowitzandGrinblatt(1999)[27]GrundyandMartin(2001)[28]81.3%JegadeeshandTitman(2001)[18]ConradandKaul(1998)[12]ConradandKaul(1998)[12]FamaandFrench(1996)[14]Brennan,ChordiaandSubrahmanyam(1998)[29]FamaFrench2.2.2(BehavioralFinanceTheory)1Barberis,ShleiferandVishny(1998)[30]BSVBSVTverskyandKahneman(1974)[31](RepresentativenessBias)Edwards(1968)[32]ConservatismBias9(Overreaction)Under-reaction2Daniel,HirshleiferandSubramanyam(1998)[33]DHSDHS(OverConfidence)(BiasedSelfAttribution)3HongandStein(1999)[34]HSHSNews-watchers(MomentumTraders)4Barberis,HuangandSantos(2001)[35]BHSBHS10(HeuristicBias)(FrameDependenceBias)KahnemanandTversky(1979)[36](ProspectTheory)ThalerandJohnson(1990)[37]InfluenceofPriorOutcomes5(HerdBehavioralModel)Barberis,ShleiferandVishny(1998)[30],Nagel(2002)[38]LeeandSwaminathan(2000)[39](3-5)DelayedOverreactionJegadeeshandTitman(1993)[3]11LoandMackinlay(1990)[13]123/3.13001419972004300CITICSecuritiesCo.,LtdStandardandPoor'sAAA30013ChordiaandSwaminathan(2000)[40]3.23.2.1(1)(MarketAdjustedAbnormalReturn)tmtjtjRRAR,,,−=3-1tjR,tjtmR,t(2)(MarketModelAbnormalReturn)tmjjtjtjRRAR,,,ˆˆβα−−=3-2jαˆjβˆOLSβCAPMDeBondtandThalerCAPM1ˆ,0ˆ==jjβαCAPMCAPMCAPMtmR,14A1(1)(CumulativeAbnormalReturn)()∑=−=TttmtiTiRRCAR1,,,3-3(2)(BuyandHoldAbnormalReturn)TttmTttiTiRRBHAR1,1,,==−=3-4ConradandKaul(1993)[41]BHARCARDeBondtandThaler(1985)[1](BidAskEffect)LoughranandRitter(1996)[42]ConradandKaul(1993)[41]BHARCAR3.2.23-1phtt-pt+ht+p153-2DeBondtandThaler(1985)[1]NeweyandWest1987[43]3.2.3JegadeeshandTitman(1993)[3]DeBondtandThaler(1985[1],1987[2])Jegadeesh(1990)[44]Lehmann(1990)[45]LoandMacKinlay(1990)[13](WeightedRelativeStrengthStrategy,WRSS)1tiAR,tiR,tititippR,1,,lnln−=+3-5,tiP,)14,,2,1(=ii)353,,2,1(=tt1,+tiP)14,,2,1(=ii1+tphtt-pt+ht+1t-p+1t+h+116tmtitiRRAR,,,−=3-6tmR,)353,,2,1(=tt2tiW,tiW,−=∑∑−+=−+=11,11,,141)(ptttmptttitiARARpW3-7tmAR,∑==141,,141ititmARAR3()hCARhti+,()()∑∑+=+=+−==htttmtihtttihtiRRARhCAR1,,1,,3-84),(hptπ)()(),(,141,hCARpWhphtiitit+=×=∑π3-9ph),(5.0),(),(hpIhhphpttt××=πδ3-10∑==141,)(),(ititpWhpI5t00tp17hph1234812162024819×9ph3.33.3.14113-142414223-11213312003[