本文選題：反轉(zhuǎn)效應(yīng) + 中國中小板��； 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：自從六十年代Fama提出了有效市場理論以來,學(xué)術(shù)界對有效市場的存在性一直爭論不休。有效市場理論認為：在該市場中,存在大量理性并且想要利益最大化的投資者,他們享有共同的信息,并且他們解讀信息的方法是相同的,當前的股票價格已經(jīng)完全反映了市場中所有的可得信息。這一理論在20世紀70年代尤為盛行,一度被學(xué)界尊為圣經(jīng)。 但是進入80年代以后,不斷有學(xué)者發(fā)現(xiàn)某些股價運動現(xiàn)象難以用有效市場理論解釋。1985年Debont和Thaler (1985)提出反轉(zhuǎn)效應(yīng),是指在某一時間點,根據(jù)過去一段時間一系列股票的收益率,對它們進行排序,把表現(xiàn)最差的幾十家股票稱為輸家組合,而表現(xiàn)最好的幾十家稱為贏家組合。隨后從中長期(2到5年)考察他們之后的表現(xiàn),他們發(fā)現(xiàn)發(fā)生了反轉(zhuǎn),輸家組合的收益率表現(xiàn)好于贏家組合。而這一現(xiàn)象被稱為反轉(zhuǎn)效應(yīng)。最早由Jegadeesh和titamn (1993)提出的動量效應(yīng),又稱為慣性效應(yīng),是指：按照反轉(zhuǎn)效應(yīng)中描述的方法排序。在接下來的短期內(nèi)(3到12個月),贏家組合的收益率高于輸家組合。而通過買入贏家組合,賣出輸家組合,構(gòu)建零投資組合,就能獲取超額回報,而這種投資策略被稱為動量策略。 筆者出于探究本國反轉(zhuǎn)效應(yīng)和動量效應(yīng)規(guī)律的目的,選取了中國中小板市場作為自己的研究對象。由于中小板市場成立已經(jīng)近十年時間,股票數(shù)量增加至七百余家,對于研究短期反轉(zhuǎn)效應(yīng)來說已經(jīng)積累了足夠的樣本數(shù)量。而本文的研究意義主要有以下幾點： 第一、從學(xué)術(shù)角度來看,目前在中小板反轉(zhuǎn)效應(yīng)和動量效應(yīng)的研究領(lǐng)域還存在較大的空白。本文試圖探究中小板市場的股票價格運動規(guī)律,考證是否存在市場異象,以期為金融理論的進一步發(fā)展提供參考。 第二、從其社會意義上來說,本文試圖找到反轉(zhuǎn)效應(yīng)出現(xiàn)的原因,可以為證監(jiān)會等政府機構(gòu)提供參考,為政策的制定提供依據(jù),促進資本市場的成熟,使其變得更加有效,更好的發(fā)揮其作為直接融資渠道的作用。 第三、從投資者的角度來看,掌握了市場的規(guī)律,有助于他們的投資決策,并且獲得超過市場平均水平的回報。當然如果存在無風險套利空間,從長期來看,是會隨著投資者的充分競爭而消失的。 本文的創(chuàng)新點主要表現(xiàn)在： 第一、選擇中小板市場作為研究對象的研究很少,只有王之飛(2011)對中小板進行了分析,但是由于當時中小板成立時間尚短,能夠成為有效樣本股的只有近五十只,從現(xiàn)在來看不具有代表性。本文選擇的時間點很合適,有239只有效樣本股,近四年半的完整牛熊市周期,能夠全面的反映中小板的市場特征。 第二、并未使用傳統(tǒng)的CAR(累積超額收益率法)而是使用BH(買入并持有法)對收益率進行計算。BH(買入并持有法)方法,能更準確的反映股票的收益率,消除CAR(累積超額收益率法)可能存在的問題。 第三、論文對中小板反轉(zhuǎn)超額利潤進行分解以探究利潤的來源,在目前有關(guān)中小板市場動量效應(yīng)、反轉(zhuǎn)效應(yīng)的研究當中尚屬首例。并且論文發(fā)現(xiàn)了單因素定價模型分解的利潤結(jié)果與存在性實證研究相悖的現(xiàn)象,推測了可能的原因。并經(jīng)過進一步的研究發(fā)現(xiàn),單因素定價分解模型本身存在的問題導(dǎo)致了該現(xiàn)象的產(chǎn)生。最后采用C-K恒等式對期望利潤進行分解,得到了可靠的實證結(jié)果。 論文主要分為以下幾個部分： 第一章、緒論介紹論文的選題背景、研究意義、研究內(nèi)容及行文結(jié)構(gòu)。 第二章、文獻綜述主要從反轉(zhuǎn)效應(yīng)、動量效應(yīng)的存在性和相應(yīng)策略超額利潤的來源這兩個角度著手,搜集、整理了比較有代表性的國外國內(nèi)的相應(yīng)研究成果,并予以總結(jié)評述。 第三章、反轉(zhuǎn)效應(yīng)、動量效應(yīng)存在性的實證研究本文從中小板近700只股票中選擇了在我設(shè)定的牛熊市周期有著較為完整交易記錄的239只股票作為樣本對象。首先從整體角度檢驗了反轉(zhuǎn)效應(yīng)、動量效應(yīng)的存在性。其次,從牛熊市不同的周期階段分別對其進行檢驗。最后,依據(jù)換手率高低,將240只股票劃分成高換手和低換手兩個集合,分別考察兩個獨立集合的表現(xiàn)特征。為之后的反轉(zhuǎn)效應(yīng)來源的分析奠定了基礎(chǔ),并為投資者提出相關(guān)的建議。 第四章、反轉(zhuǎn)策略超額利潤來源分析根據(jù)Jegadeesh和titman (1993)的研究方法,利用單因素模型分解期望利潤,討論了利潤的來源,發(fā)現(xiàn)實證結(jié)果與第三章的實證結(jié)果相悖。 第五章、實證結(jié)果矛盾的原因探究針對第四章中發(fā)現(xiàn)的問題,用WRSS法對反轉(zhuǎn)效應(yīng)的存在性進行了再一次的確認,進而排除了是組合構(gòu)建方法的影響。緊接著,用比單因素定價模型更可靠的C-K恒等式分解模型對期望利潤進行了分解,得到了更為接近事實的結(jié)果。 第六章、結(jié)論及展望對論文進行總結(jié)并陳述自己的結(jié)論,討論本文的有待改進之處,并為后來者提出相關(guān)建議。 在完成了上述工作后,經(jīng)研究得出以下結(jié)論： 第一、經(jīng)兩種不同的組合構(gòu)建方法驗證,就整體時間區(qū)間而言,中國中小板市場確實存在顯著的反轉(zhuǎn)效應(yīng),而并沒有觀察到顯著的動量效應(yīng) 第二、牛市環(huán)境下中國中小板市場,只有少數(shù)的策略組合表現(xiàn)出顯著的反轉(zhuǎn)效應(yīng)；熊市環(huán)境下中國中小板市場可以觀察到顯著的反轉(zhuǎn)效應(yīng)。 第三、高換手率股票組表現(xiàn)較明顯的是反轉(zhuǎn)效應(yīng),而低換手率組同時存在顯著的動量效應(yīng)和反轉(zhuǎn)效應(yīng)。 第四、中國中小板市場并非一個有效市場,中國中小板市場的反轉(zhuǎn)收益主要來源于時間序列的可預(yù)測性。雖然我國中小板市場具有較大的橫截面方差,對反轉(zhuǎn)利潤有削弱的作用,但時間序列的相關(guān)性依然占主導(dǎo)作用。 就未來進一步研究的方向而言,可以在模型的選擇上考慮使用多因素定價模型,但是難點在于多因素模型中的各個因素的選擇十分講究,選擇不當會與現(xiàn)實差距很大；另外在數(shù)據(jù)處理時應(yīng)考慮到自相關(guān)性的影響,可以采用Newey-west的方法進行調(diào)整。
[Abstract]:Since Fama proposed effective market theory in 60s, academic circles have been arguing about the existence of effective markets. Effective market theory holds that in the market, investors who have a lot of rationality and want to maximize their interests enjoy the same information, and their way of reading information is the same, the current stock Ticket prices have fully reflected all available information in the market. This theory prevailed in 1970s and was once honored by the academic world as the Bible.
But after 80s, some scholars have found that some stock movement phenomena are difficult to use effective market theory to explain.1985 Debont and Thaler (1985) put forward reversal effect. It refers to the ranking of a series of stock returns at a certain time point, which is called the loser, and the worst performance is called the loser. The combination, and the dozens of best performing groups called winners, then examined their performance in the middle and long term (2 to 5 years). They found a reversal, and the yield of the loser combination was better than the winner. The phenomenon was called the reversal effect. The first momentum effect proposed by Jegadeesh and titamn (1993) is also known as the inertia effect. In the next short term (3 to 12 months), the profit rate of the winner is higher than that of the losers, and the excess returns can be obtained by buying a winner portfolio, selling the loser portfolio and building a zero portfolio, and this investment strategy is called the momentum strategy.
For the purpose of exploring the laws of the reverse and momentum effects of the country, the author chooses the medium and small plate Market in China as its research object. Since the small and medium-sized board market has been established for nearly ten years, the number of stocks has increased to more than seven hundred, and the amount of the sample has been accumulated enough for the study of the short-term reversal effect. The main points are as follows:
First, from the academic point of view, there is still a big gap in the research field of small plate reversal effect and momentum effect. This paper tries to explore the law of stock price movement in the small and medium market market, and examines whether there is a market vision, in order to provide reference for the further development of the financial theory.
Second, from its social significance, this article tries to find the reasons for the reversal effect, which can provide reference for the government agencies such as the SFC, provide the basis for the formulation of the policy, promote the maturity of the capital market, make it more effective, and better play its role as a direct financing channel.
Third, from the perspective of investors, mastering the law of the market helps them to make their investment decisions and gains more than the market average. Of course, if there is a risk free arbitrage space, in the long run, it will disappear with the full competition of the investors.
The main innovation points of this paper are as follows:
First, the selection of small and medium board market as the research object is very few. Only Wang Zhifei (2011) has analyzed the small and medium board, but because the time of the small and medium-sized board is short, only nearly fifty can become effective sample stock, and it is not representative from now on. The time point of this paper is very suitable and there are 239 effective sample stocks. Nearly four and a half years, the complete bull bear market cycle can fully reflect the market characteristics of small and medium-sized boards.
Second, instead of using the traditional CAR (cumulative excess return rate method), we use the BH (buy and hold method) to calculate the rate of return (buy and hold method), which can more accurately reflect the stock returns and eliminate the possible problems of the CAR (cumulative excess rate of return).
Third, the paper decomposes the excess profit of small and medium plate reversals to explore the source of profit. It is the first one in the study of momentum effect and reversal effect in the medium and small market market. And the paper finds out the phenomenon that the profit result of the single factor pricing model is contrary to the existence empirical research, and the possible reasons are speculated. After further research, it is found that the problem of the single factor pricing decomposition model itself leads to the emergence of this phenomenon. Finally, the C-K identity is used to decompose the expected profit, and a reliable empirical result is obtained.
The thesis is divided into the following parts:
The first chapter introduces the background, significance, content and structure of the thesis.
The second chapter, the literature review mainly from the two angles of the reversal effect, the existence of momentum effect and the source of the corresponding strategic excess profit, collects and collects the relative research results of the representative foreign and domestic, and gives a summary and review.
The third chapter, reversal effect, the existence of momentum effect, this paper selects 239 stocks which have a complete transaction record in the period of the bull bear market which I set in 700 stocks as sample. First, we test the reversal effect and the existence of momentum effect from the whole point of view. Secondly, from the different weeks of the bull bear market Finally, according to the turnover rate, the 240 stocks are divided into two sets of high turnover and low turnover, respectively, to investigate the performance characteristics of the two independent sets, which lays the foundation for the analysis of the source of the reversal effect and puts forward the suggestions for the investors.
The fourth chapter, based on the research method of Jegadeesh and Titman (1993), a single factor model is used to decompose the expected profit, and the source of profit is discussed. It is found that the empirical results are contrary to the empirical results of the third chapter.
The fifth chapter, the reasons for the contradiction of the empirical results are explored in the fourth chapter, and the existence of the reversal effect is confirmed again by the WRSS method, and then the effect of the combined construction method is excluded. Then, the expected profit is decomposed by the C-K identity decomposition model which is more reliable than the single factor pricing model. The result is closer to the fact.
The sixth chapter, conclusion and prospect, summarizes the paper and states its own conclusions, discusses the improvements that need to be made in this paper, and puts forward some suggestions for the later.
After completing the above work, the following conclusions are drawn from the study.
First, through two different combination construction methods, the small plate Market in China does have a significant reversal effect in terms of the overall time interval, and the significant momentum effect is not observed.
Second, only a few strategic combinations show significant reversal effect in the medium and small plate Market in the environment of the bull market, and a significant reversal effect can be observed in the medium and small plate market of China under the bear market.
Third, the high turnover rate group's performance is more obvious than the reverse effect, while the low turnover group has significant momentum effect and reversal effect.
Fourth, the small and medium plate Market in China is not an effective market. The reverse return of China's small and medium-sized board market is mainly due to the predictability of the time series. Although the small and medium board market in China has a large cross section variance, it has a weakening effect on the reverse profit, but the correlation of the time series still occupies the leading role.
As far as future research is concerned, the multi factor pricing model can be considered in the selection of the model, but the difficulty is that the selection of various factors in the multi factor model is very particular, and the improper selection will be very large. In addition, the influence of autocorrelation should be taken into account in the process of data processing, and the Newey-west's side can be used. The law is adjusted.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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