论文部分内容阅读
2014年是对冲基金的寒武纪年,对冲基金的投资收益即来自于超越市场的超额收益即Alpha收益。本文着重对2014年的沪深证券市场内中小市值公司实证研究探索Alpha是否显著存在。本文根据构建的超越基准市场收益的选股模型结果对14年中心盘股的Alpha进行OLS显著性检验。从描述性分析来看,2014年中小盘股没有存在明显的Alpha套利空间,但从中小盘股长期价值投资的角度以及未来可能推广融券业务,市场存在在反向套利空间。
2014 is the Cambrian year for hedge funds. The return on investment from hedge funds comes from excess returns over the market, which is Alpha revenue. This article focuses on the empirical study of small and medium capitalization companies in the Shanghai and Shenzhen stock markets in 2014 to explore whether Alpha is significant. Based on the results of the stock selection model that builds beyond the benchmark market returns, this paper tests the OLS significance of Alpha in the 14-year central bank. From a descriptive analysis, there was no significant Alpha arbitrage space for small cap stocks in 2014, but there is room for reverse arbitrage in the view of the long-term value investing of small cap stocks and the possible promotion of margin trading in the future.