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文以线性多因子定价模型为基础,对动量收益进行分解,通过构造两种不同的动量策略——基于历史总收益的动量策略和基于历史公司特定收益的动量策略,来考察不同因子对动量效应的影响。进一步的实证研究表明:中国股市存在统计显著的动量效应;股价对公司特定信息的反应不足是该效应存在的主要原因。
Based on the linear multi-factor pricing model, the dissertation decomposes the momentum gains and studies the effects of different factors on the momentum effects by constructing two different momentum strategies - the momentum strategy based on historical total returns and the momentum strategy based on the historical firm’s specific returns Impact. Further empirical studies show that there is a statistically significant momentum effect in China’s stock market and the lack of responsiveness of stock prices to company-specific information is the main reason for this effect.