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本文基于1995年~2013年的全样本数据,以研究沪深A股市场的惯性和反转效应为例,分别用买入持有方法和再平衡方法计算投资组合收益率,对两种度量方法进行比较分析。文中认为再平衡方法存在偏差,并且可能导致错误的统计推断,通过本文提醒研究者对早前使用再平衡方法得出的相关研究成果进行再检验。
Based on the full sample data from 1995 to 2013, taking the inertia and reversal effects of the Shanghai and Shenzhen A-share markets as an example, this paper calculates the return on investment portfolio by the method of buy-hold and rebalancing respectively. For comparative analysis. The article suggests that there is a bias in the rebalancing approach and may lead to erroneous statistical inferences, reminding the researchers to re-examine the results of earlier studies using the rebalancing approach.