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鉴于股市收益率常常表现出非对称性和“尖峰”“厚尾”等系统性的高阶矩特征,本文在“均值-方差”CAPM和三因素模型等经典模型的基础上加入高阶矩风险,考查动量策略和反转策略的收益率是否可以进一步被高阶矩风险所解释。以中国沪深股市1998年1月至2009年11月所有A股的月度收益为样本,研究发现:(1)加入高阶矩风险能显著改进经典模型对两种策略下输家和零投资组合以及部分赢家组合收益率的解释力;(2)动量效应并不显著而反转效应显著存在;(3)经典模型不能解释的动量策略输家组合的超额收益可以由高阶矩风险所解释;(4)反转策略下输家组合比该策略下的赢家组合具有相对较高的因素风险和高阶矩风险。
In view of the fact that the returns of the stock market often show the characteristics of higher order moments such as asymmetry and “thick ” “thick tail ”, this paper bases on the classical models of “mean - variance ” CAPM and three-factor model Add moments of higher moments to test whether the rate of return of momentum and reversal strategies can be further explained by moments of higher moments. Taking the monthly returns of all A-shares of China’s Shanghai and Shenzhen stock markets from January 1998 to November 2009 as a sample, the study finds that: (1) The risk of adding higher moments can significantly improve the classical model. For both the loser and the zero-portfolio and the (2) the momentum effect is not significant and the reversal effect is significant; (3) the excess returns of the loser combination of momentum strategies that can not be explained by the classical model can be explained by the moments of higher moments; (4) ) Under the reversal strategy, the loser combination has a relatively higher factor risk and a higher risk moment than the winner combination under this strategy.