股改后绩优股周内动量与反转效应实证研究
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摘要
投资策略一直是股票市场研究的一个热点,一方面它可以用来检验相关理论的合理性,另一方面也可以用来指导投资实践。
各种投资策略都有其背后的理论,对理论的熟悉是研究投资策略的前提。传统金融学理论假设市场是有效的,认为股票价格已经反映了股票在现有信息下的真实价格,于是采用消极的投资策略,在风险分散原理的指导下,该理论倡导指数投资策略。而行为金融学将心理学的研究成果应用到金融学,摒弃市场有效假说和投资人理性假设,认为投资者存在种种认知偏差,提出了很多不同的投资策略,本文研究的动量和反转效应就是其中之一。
动量效应又称“惯性效应”,一般指在较短的时间内股票价格表现出一定的持续性,即过去短时间内收益较高的股票在未来的中短期内收益率也会较高;而过去短时期内收益率较低的股票,未来收益也会比较低。反转效应则刚好和动量效应相反,过去表现好的股票未来收益会较低,过去表现差的股票未来收益会较高。这两种效应几乎在所有发达国家证券市场都存在,在国内市场比较普遍的结论是:动量效应短期(周、月)存在,反转效应长期明显。
本文以国内外普遍采纳的研究框架为指导,首次引入交易费用以及去除卖空机制存在的假设,创新地研究了特定股票群(绩优股)短期(周内)的动量和反转效应,希望更切实际的研究结论能给投资者提供一种有效的投资策略。本文也对结论产生的原因(条件)做了讨论,希望能界定投资策略的应用条件,对投资实践起到指导作用。本文的研究思路如下:
第一部分是绪论。分析了投资策略的演变和当前我国市场的特征,阐述了本文选题意义、研究内容及研究方法。
在第二部分中,为了寻求动量与反转投资策略的理论渊源,我们归纳了传统金融学理论体系发展脉络及其倡导的指数法投资策略,然后介绍了金融市场存在的各种异像,以及对异像进行合理解释的行为金融学理论体系及其投资策略。
第三部分主要归纳了动量和反转效应研究的方法。归纳发现以往研究在构建策略组合时都包含两点与我国当前市场不符的假设:个股可卖空和不考虑交易费用。同时,以往研究并没有对特定股票群和更短时期(小于1周)加以系统研究,考虑到价值投资理念的倡导以及我国市场较高的交易频率,本文以股改后绩优股周内收益作为研究对象,力图从时间和空间两个维度对以前的研究加以拓展和补充。
第四部分为实证研究,我们借鉴Titman的研究框架,采用策略组合形成期和持有期不重叠的抽样方法,考察2005年5月至2007年8月沪深300中26只样本绩优股的收益数据,构建动量与反转策略组合,用组合平均超额收益率的统计显著性来检验效应的存在性。为了使样本更具代表性,本文采纳每股收益(EPS)和净资产收益率(ROE)作为筛选标准,同时兼顾样本业绩的持续性和稳定性。实证研究表明,股改后我国股市绩优股一周内存在动量和反转效应。这一结论表明我国市场动量和反转效应存在的周期比国外短的多。具体而言,动量效应只存在于很短的形成期和持有期中(各为1天),反转效应则在一周内很普遍,且形成期越长,反转效应越明显。
随后,本文对结论进行了讨论。这主要是为了寻找效应存在的原因,以界定投资策略适用的条件。对于动量效应的短期性,本文借助HS模型对投资者分类进行分析,认为是由于我国股市存在大量“动量交易者”所致。而对于普遍的反转效应,本文从分析我国市场环境入手,认为流动性过剩是一个原因。这两种效应的存在说明了我国股市并非有效,投资者可以构建动量和反转投资策略获得超额收益。最后,本文提出了一些不足和进一步研究的方向。
本文的主要贡献在于:首先,提出了引入交易费用和不假设卖空的动量与反转效应检验框架;其次,对市场中某一类型的股票(绩优股)的短期(周内)效应进行实证研究,得到了一些有益的结论。
Investment strategy has always been being a focal issue on stock market research, on the one hand, it can be used to test if various financial theories are reasonable, on the other hand, it can also be used to guide investment practice.
Traditional finance theory is the greatest advocate of index investment rules while behavioral finance theory has made a lot of different investment strategies. These are based on their different theoretical system and study findings. Firstly, this paper compares the two major theoretical systems and their various investment strategies, then show the main research task of this paper: the momentum and contrarian effect.
After reviewing domestic and international Empirical Study Literature of Momentum and contrarian effect, the paper found that firstly, previous studies generally concluded that: short-term (weeks, months) momentum effect exists, long-term reversal effect is prevalent. Secondly, previous studies always make two assumptions: short sale of stocks and no transaction fees.However, the assumptions are inconsistent with China's current market.thirdly, previous studies have not focused on specific stocks and short time systematic research(less than one week).the paper gives previous research an expansion and supplement by combining the space and time these two dimensions. The research object of the paper is the performance of blue-chip stocks within a week.
In empirical studies, the paper use Titman’s model for reference. His model use average excessive-earnings of sample portfolio to test the existence of momentum and contrarian effect. In order to make sample more representative, the paper adopted earnings per share (EPS) and return on equity (ROE) as a sampling standards, taking into account the sustainability and stability of the sample performance. Then, conclusion is based on the average excessive yield of the strategical portfolio.
The empirical study shows that, after share reform, momentum and contrarian effect within one week are existing on our stock market. Specifically, the momentum effect exists only in a very short period of the formation and holding period (1 day),the contrarian effect is very common, and the longer the formation period is, the more obvious the contrarian effect will be. The existence of these two effects proves that China's stock market is not effective, investors may gain excessive yield by using some special investment strategy.
Then the conclusions were discussed. For the short-term momentum effect, the paper using HS model to analyze the sort of investors, and believe that the effect is due to the existence of a large number of "momentum trader". For the prevalent contrarian effect, the paper believes that the excessive liquidity is a factor. Finally, the paper gives some advice on study in depth and direction.
各种投资策略都有其背后的理论,对理论的熟悉是研究投资策略的前提。传统金融学理论假设市场是有效的,认为股票价格已经反映了股票在现有信息下的真实价格,于是采用消极的投资策略,在风险分散原理的指导下,该理论倡导指数投资策略。而行为金融学将心理学的研究成果应用到金融学,摒弃市场有效假说和投资人理性假设,认为投资者存在种种认知偏差,提出了很多不同的投资策略,本文研究的动量和反转效应就是其中之一。
动量效应又称“惯性效应”,一般指在较短的时间内股票价格表现出一定的持续性,即过去短时间内收益较高的股票在未来的中短期内收益率也会较高;而过去短时期内收益率较低的股票,未来收益也会比较低。反转效应则刚好和动量效应相反,过去表现好的股票未来收益会较低,过去表现差的股票未来收益会较高。这两种效应几乎在所有发达国家证券市场都存在,在国内市场比较普遍的结论是:动量效应短期(周、月)存在,反转效应长期明显。
本文以国内外普遍采纳的研究框架为指导,首次引入交易费用以及去除卖空机制存在的假设,创新地研究了特定股票群(绩优股)短期(周内)的动量和反转效应,希望更切实际的研究结论能给投资者提供一种有效的投资策略。本文也对结论产生的原因(条件)做了讨论,希望能界定投资策略的应用条件,对投资实践起到指导作用。本文的研究思路如下:
第一部分是绪论。分析了投资策略的演变和当前我国市场的特征,阐述了本文选题意义、研究内容及研究方法。
在第二部分中,为了寻求动量与反转投资策略的理论渊源,我们归纳了传统金融学理论体系发展脉络及其倡导的指数法投资策略,然后介绍了金融市场存在的各种异像,以及对异像进行合理解释的行为金融学理论体系及其投资策略。
第三部分主要归纳了动量和反转效应研究的方法。归纳发现以往研究在构建策略组合时都包含两点与我国当前市场不符的假设:个股可卖空和不考虑交易费用。同时,以往研究并没有对特定股票群和更短时期(小于1周)加以系统研究,考虑到价值投资理念的倡导以及我国市场较高的交易频率,本文以股改后绩优股周内收益作为研究对象,力图从时间和空间两个维度对以前的研究加以拓展和补充。
第四部分为实证研究,我们借鉴Titman的研究框架,采用策略组合形成期和持有期不重叠的抽样方法,考察2005年5月至2007年8月沪深300中26只样本绩优股的收益数据,构建动量与反转策略组合,用组合平均超额收益率的统计显著性来检验效应的存在性。为了使样本更具代表性,本文采纳每股收益(EPS)和净资产收益率(ROE)作为筛选标准,同时兼顾样本业绩的持续性和稳定性。实证研究表明,股改后我国股市绩优股一周内存在动量和反转效应。这一结论表明我国市场动量和反转效应存在的周期比国外短的多。具体而言,动量效应只存在于很短的形成期和持有期中(各为1天),反转效应则在一周内很普遍,且形成期越长,反转效应越明显。
随后,本文对结论进行了讨论。这主要是为了寻找效应存在的原因,以界定投资策略适用的条件。对于动量效应的短期性,本文借助HS模型对投资者分类进行分析,认为是由于我国股市存在大量“动量交易者”所致。而对于普遍的反转效应,本文从分析我国市场环境入手,认为流动性过剩是一个原因。这两种效应的存在说明了我国股市并非有效,投资者可以构建动量和反转投资策略获得超额收益。最后,本文提出了一些不足和进一步研究的方向。
本文的主要贡献在于:首先,提出了引入交易费用和不假设卖空的动量与反转效应检验框架;其次,对市场中某一类型的股票(绩优股)的短期(周内)效应进行实证研究,得到了一些有益的结论。
Investment strategy has always been being a focal issue on stock market research, on the one hand, it can be used to test if various financial theories are reasonable, on the other hand, it can also be used to guide investment practice.
Traditional finance theory is the greatest advocate of index investment rules while behavioral finance theory has made a lot of different investment strategies. These are based on their different theoretical system and study findings. Firstly, this paper compares the two major theoretical systems and their various investment strategies, then show the main research task of this paper: the momentum and contrarian effect.
After reviewing domestic and international Empirical Study Literature of Momentum and contrarian effect, the paper found that firstly, previous studies generally concluded that: short-term (weeks, months) momentum effect exists, long-term reversal effect is prevalent. Secondly, previous studies always make two assumptions: short sale of stocks and no transaction fees.However, the assumptions are inconsistent with China's current market.thirdly, previous studies have not focused on specific stocks and short time systematic research(less than one week).the paper gives previous research an expansion and supplement by combining the space and time these two dimensions. The research object of the paper is the performance of blue-chip stocks within a week.
In empirical studies, the paper use Titman’s model for reference. His model use average excessive-earnings of sample portfolio to test the existence of momentum and contrarian effect. In order to make sample more representative, the paper adopted earnings per share (EPS) and return on equity (ROE) as a sampling standards, taking into account the sustainability and stability of the sample performance. Then, conclusion is based on the average excessive yield of the strategical portfolio.
The empirical study shows that, after share reform, momentum and contrarian effect within one week are existing on our stock market. Specifically, the momentum effect exists only in a very short period of the formation and holding period (1 day),the contrarian effect is very common, and the longer the formation period is, the more obvious the contrarian effect will be. The existence of these two effects proves that China's stock market is not effective, investors may gain excessive yield by using some special investment strategy.
Then the conclusions were discussed. For the short-term momentum effect, the paper using HS model to analyze the sort of investors, and believe that the effect is due to the existence of a large number of "momentum trader". For the prevalent contrarian effect, the paper believes that the excessive liquidity is a factor. Finally, the paper gives some advice on study in depth and direction.
引文
1 2007年8月9日,沪深证券交易所公布的数据显示,沪深两市总市值达21.1466万亿元,2006年我国GDP总额为21.087万亿元,证券化率为100.28%。
[1]张圣平,熊得华,张峥,刘力.现代经典金融学的困境与行为金融学的崛起.金融研究.2003.4:44-56
[2]刘力.行为金融学理论对效率市场假说的挑战.经济科学.1993.3:63-71
[3]宋军,吴冲锋.从有效市场假设到行为金融理论.世界经济.2001.10
[4]黄兴旺,朱楚珠.行为金融理论评述.经济学动态.2002.8:66-69
[5]刘志阳.西方行为金融理论:一个文献综述.学术研究.2002.2
[6]王永宏,赵学军.中国股票市场惯性策略和反转策略的实证分析.经济研究,2001.6.56-61
[7]周琳杰.中国股票市场动量策略赢利性研究.世界经济,2002.8.60-64
[8]朱战宇,吴冲锋,王承炜.股票价格动量与交易量关系:中国的经验研究与比较.系统工程理论与实践,2004.2.2-7
[9]朱战宇,吴冲锋,王承炜.不同检验周期下中国股市价格动量的盈利性研究.世界经济,2003.8.62-67
[10]程兵,梁衡义,肖宇谷.动量和反转投资策略在我国股市中的实证分析.财经问题研究,2004.8.29-35
[11]贺学会,陈诤.基于牛市和熊市不同周期的股票市场动量效应研究.财经理论与实践(双月刊),2006.9.40-45
[12]林松立,唐旭.中国股市动量策略和反向策略投资绩效之实证研究.财经科学,2005.1.81-87
[13]王志强,王月盈,徐波,段谕.中国股市动量效应的表现特征.财经问题研究,2006.11.46-55
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[1]张圣平,熊得华,张峥,刘力.现代经典金融学的困境与行为金融学的崛起.金融研究.2003.4:44-56
[2]刘力.行为金融学理论对效率市场假说的挑战.经济科学.1993.3:63-71
[3]宋军,吴冲锋.从有效市场假设到行为金融理论.世界经济.2001.10
[4]黄兴旺,朱楚珠.行为金融理论评述.经济学动态.2002.8:66-69
[5]刘志阳.西方行为金融理论:一个文献综述.学术研究.2002.2
[6]王永宏,赵学军.中国股票市场惯性策略和反转策略的实证分析.经济研究,2001.6.56-61
[7]周琳杰.中国股票市场动量策略赢利性研究.世界经济,2002.8.60-64
[8]朱战宇,吴冲锋,王承炜.股票价格动量与交易量关系:中国的经验研究与比较.系统工程理论与实践,2004.2.2-7
[9]朱战宇,吴冲锋,王承炜.不同检验周期下中国股市价格动量的盈利性研究.世界经济,2003.8.62-67
[10]程兵,梁衡义,肖宇谷.动量和反转投资策略在我国股市中的实证分析.财经问题研究,2004.8.29-35
[11]贺学会,陈诤.基于牛市和熊市不同周期的股票市场动量效应研究.财经理论与实践(双月刊),2006.9.40-45
[12]林松立,唐旭.中国股市动量策略和反向策略投资绩效之实证研究.财经科学,2005.1.81-87
[13]王志强,王月盈,徐波,段谕.中国股市动量效应的表现特征.财经问题研究,2006.11.46-55
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[41]文中数据来源:国泰安数据库,天相数据库,wind数据库,国家统计局,中国人民银行,中国证券登记结算有限责任公司。