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我国股票历史表现如何影响当前收益率?本文通过分析1992年至2012年股票回报率数据,发现我国股票回报率存在超短期的反转效应。与美国等发达国家股票市场不同,我国股市的惯性效应并不显著。我们同时发现,Fama-French三因素模型并不能有效解释我国股票历史表现对当前收益率的影响。进一步研究我国股市收益率反转的特征,我们构造了反转因子。进一步,发展Carhart(1997)和Novy-Marx(2012)的研究结果,本文提出包含反转效应的四因素模型。
How does the historical performance of Chinese stock affect the current rate of return? By analyzing the stock return data from 1992 to 2012, we find that there is an ultra-short-term reversal effect on the stock return in China. Unlike the developed countries such as the United States stock market, the inertia effect of our stock market is not significant. We also find that the Fama-French three-factor model does not effectively explain the impact of the historical performance of our stock on the current rate of return. To further study the characteristics of the reversal of the return of the stock market in our country, we construct a reversal factor. Further, by developing the results of Carhart (1997) and Novy-Marx (2012) research, we propose a four-factor model that includes reversal effects.