| 上市公司经营业绩在动量效应形成中的作用 |
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| 引用本文： | 丁超. 上市公司经营业绩在动量效应形成中的作用[J]. 辽宁工程技术大学学报(社会科学版), 2007, 9(6): 597-599 |
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| 作者姓名： | 丁超 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200030 |
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| 摘 要： | 为探讨上市公司经营业绩在动量效应形成中的作用,通过利用产业与资本市场的资产定价模型分解股票收益,按照三种收益水平构造动量投资组合并考察收益在持有期的表现,结果发现,经营业绩的横截面差异是形成动量与反转效应的必要条件;股票市场交易行为在不同时期对经营业绩的反应过度和反应不足促成了收益的动量与反转效应的形成。
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| 关 键 词： | 动量效应 基本收益 交易收益 市场反应 |
| 文章编号： | 1008-391X(2007)06-0597-03 |
| 修稿时间： | 2007-09-25 |
Effect of management achievement of listed corporations on momentum effect |
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| DING Chao. Effect of management achievement of listed corporations on momentum effect[J]. Journal of Liaoning Technical University(Social Science Edition), 2007, 9(6): 597-599 |
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| Authors: | DING Chao |
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| Abstract: | To understand the effect of management achievement of listed corporations on momentum effect,this paper firstly decomposes stock return into intrinsic return that comes from management achievement of listed corporations and market-trading return coming from market-trading activities.Then the momentum portfolios are formed based on three types of stock return.The empirical results indicate that the cross-sectional management achievement difference of listed corporations of momentum portfolios is the necessary condition of momentum and contrarian effect,the under-and over-reaction of market-trading return to management achievement stimulates the appearances of momentum and contrarian effect. |
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| Keywords: | momentum effect intrinsic return market-trading return reaction |
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