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中国市场环境如何影响动量与反转收益

文章 arXiv papers · 作者: H. -L. Shi et al.
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总结

本文研究中国股票市场中横截面动量和反转投资组合收益如何随时间变化。研究使用资本资产定价模型和 Fama–French 三因子模型评估两者与风险溢价的关系，然后考察市场状况与反转策略盈利能力的关联。

报告的证据表明，反转机会时有时无；市场趋势向上、波动率和流动性较高、宏观经济不确定性较低时，盈利能力更强。研究结果显示，这些投资组合的表现取决于投资环境，也与市场适应性观点一致。摘要未提供样本日期、投资组合构建细节、交易成本估算或稳健性结果，因此无法据此判断实际捕捉这些模式有多容易。

核心观点

  • 中国股票的横截面动量和反转风险溢价随时间变化。
  • 分析使用 CAPM 和 Fama–French 三因子模型评估风险溢价关系。
  • 据报告，市场趋势向上时，反转投资组合的盈利能力更强。
  • 波动率和流动性较高、宏观经济不确定性较低，与更强的反转收益相关。
  • 报告的市场状况关联本身不能证明扣除成本后的盈利能力可实际实现。

标签

股票中国市场动量均值回归因子投资风险管理
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# Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets


# Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets









This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor model. The evolving arbitrage opportunities are also studied by quantifying the performance of time-varying cross-sectional momentum and contrarian effects in the Chinese stock markets. The relation between the contrarian profitability and market condition factors that could characterize the investment context is also investigated. The results reveal that the risk-premium relation varies over time, and the arbitrage opportunities based on the contrarian portfolios wax and wane over time. The performance of contrarian portfolios are highly dependent on several market conditions. The periods with upward trend of market state, higher market volatility and liquidity, lower macroeconomics uncertainty are related to higher contrarian profitability. These findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。