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文章考虑风险与收益的时变性,提出了变系数市场模型以便更好的捕获市场风险变化因素,建立了半参数alpha策略模型,并以沪深300指数及其成分股为研究对象,利用该半参数模型构建可以取得alpha策略反转效应的股票组合,文章还对半参数alpha策略的反转效应的持有期长短、股票稳定性对反转效应的影响进行了研究。实证结果表明所提出的模型可以作为较为理想的预测工具,同时也为提高投资收益和管理投资风险提供了一定的理论参考。
In this paper, considering the time-varying risk and return, a variable coefficient market model is proposed to better capture the market risk factors. A semiparametric alpha strategy model is established. Taking the CSI 300 Index and its constituents as research objects, The parametric model constructs a stock portfolio that can obtain the reversal effect of the alpha strategy. The article also studies the holding period of the reversal effect of the semi-parametric alpha strategy and the effect of stock stability on the reversal effect. The empirical results show that the proposed model can be used as an ideal forecasting tool, and it also provides some theoretical references for improving investment returns and managing investment risk.