中国股市价格惯性反转与风险补偿的实证研究

利用改进的统计方法,利用1995年1月至2001年12月的月收益数据重新进行了有关中国股票市场的价格惯性、反转效应的实证研究。发现中国股市并不存在显著的惯性效应,而存在显著的中长期(12个月以上)反转效应。对于反转策略所产生的超常收益,我们分别用CAPM模型以及FamaandFrench三因子模型进行风险调整,结果发现,这两个模型均不能很好地解释反转效应。因此我们倾向于认为。反转策略的超常收益主要来源于投资者的过度反应而非理性的风险补偿。

Empirical Research of Price Momentum and Contrarian and Risk Compensation in Chinese Stock Market

Using revised statistic method,we redo research about the price momentum and contrarian effects in Chinese stock market with stocks' monthly return between Jan.1995 and Dec.2001.We find no significant momentum effect,and on the contrary find significant contrarian effect in medium and longer period(at least 12 months).As to the abnormal return of the contrarian strategy,We adjust risk using CAPM and Fama and French's three-factor models independently.And the result shows,neither of the two model can fully explain the contrarian effect.So we prone to believe that the main source of abnormal return of contrarian strategy is the overreaction of investors and not the rational risk compensation of stccks.