【作者】 黄旭成；

【导师】 陈工孟；

【作者基本信息】 上海交通大学 ， 金融学， 2018， 博士

【摘要】 研究表明,市场风格对证券投资有重要影响,在A股市场则更为明显。风格通常是针对股票组合而言的,当股票组合被称为拥有某种风格时,组合内股票往往具有一种共同的属性,使得风格组合内的股票的收益表现具有较强的相关性从而相区别于其他股票。一般而言,风格应来自于更为基本的公司特征而非行业特征,例如市值大小、成长性等,这些公司特征也被称为风格因子。尽管市场风格对证券投资影响较大,但目前国内关于市场风格现象的学术研究并不多,本文完善相关研究方法,结合国内A股市场的实际情况,针对A股市场的一些重要的风格现象做了一个较全面的深度研究,具体包括风格动量、风格轮动、风格策略以及风格对投资策略所产生的影响等等。首先,本文研究了风格动量效应,并分别研究了个股动量效应和行业动量效应以便与风格动量效应进行比较,还进一步探讨了个股、风格以及行业这三类动量效应之间的内在规律。本文发现,A股市场存在较为明显的风格动量效应,尤其在日周期层面和周周期层面表现得较为显著;个股动量效应则要弱于风格动量效应,仅在极短期内存在;与个股动量以及风格动量相比,行业组合的动量效应则更为显著。本文进一步发现,在A股市场,个股、风格、行业这三类动量效应呈现出逐步增强的趋势,与三类动量类型所对应的价格、风格和行业三类因子,本质上是从不同的角度反映了股票的不同属性,但这些因子所反映的股票属性的深度以及对股票收益波动的影响程度是逐步增强的,从而直接导致了三类动量效应不同的强弱表现;A股市场存在显著的个股反转效应和风格、行业动量效应,且三者之间还存在清晰的规律关系,充分说明了A股市场不是一个有效市场。其次,本文在风格动量研究的基础上研究了风格轮动,给出了风格轮动的形成机制的理论解释,并基于风格轮动的形成机制进一步解释了风格动量的形成原因。本文发现,A股市场普遍存在着风格轮动现象,并且当某种风格强势时,另一种对立风格往往弱势,这种风格对立的风格轮动现象是一种普遍现象;股票价格是股票未来预期收益的折现值,如果原先定价所基于的宏观环境和定价因子发生变化,例如资金成本、相对风险溢价和相对业绩增速等,则将改变股票的定价预期,不同风格组合的价格预期的不同变化将导致不同风格组合之间相对价格的偏移;宏观环境和定价因子的周期性变化,导致了风格轮动;宏观环境和定价因子的持续性变化,并叠加投资者的适应性预期,导致了风格特征在中短期内具备持续性,产生了所谓的风格动量效应。接着,本文根据风格动量和风格轮动的相关研究结论,构建了一些量化投资策略模型并进行了策略评价。本文所发现的动量效应内在规律,实际上就是一种对市场波动的预测或把握能力,因此,既然能预测到或把握住市场波动,那么就应该能基于这些内在规律开发出具有参考价值的量化对冲策略模型。本文发现,基于风格动量和风格轮动的内在规律,确实能够设计出有效的量化投资策略,这也从另一个角度证实了本文提出的风格动量和风格轮动的内在规律的客观性。另外,本文还发现,在找到市场逻辑以后,通过改变思路或使用更为先进的方法,能够有效地改善量化策略。最后,本文进一步对一些具有代表性的风格策略做了研究,一是拓展了风格因子范围,重点对具有代表性的SMART BETA策略进行了研究;二是重点分析了风格对阿尔法策略等市场中性策略的影响,进一步观察了市场风格对投资策略的影响。本文发现,从历史绩效来看,各类SMART BETA策略指数相对于基准指数长期确实具有更好的投资绩效;SMART BETA策略指数的较高的投资绩效来自于特定的风格因子暴露;但A股的市场结构和市场特征与国外成熟市场存在较大的差异,SMART BETA策略的基础理论就A股市场现状而言可能存在缺陷,因而SMART BETA策略在A股市场的投资绩效可能存在较大的不确定性。本文还发现,从整体而言市场中性策略对冲基金的绝对收益并不高于市场收益和传统型基金,但从基金绩效评价的角度来看,市场中性策略基金的绩效优势明显;各市场中性策略基金普遍存在市场风险暴露,其中阿尔法子策略基金还存在显著的市场风格因子暴露;阿尔法策略基金与市场风格因子高度相关,本质原因可能在于目前有效的对冲工具依然不足,普遍使用沪深300股指期货作为对冲工具;当市场风格偏小盘和成长时,该类策略会表现较好;反之,当市场风格转向大盘股和价值股,阿尔法策略对冲基金就会存在较大的风险。本论文关于A股市场各种风格现象的研究结论,不仅仅有效地填补了相关学术领域的一些研究空白,对投资者而言也具有较高的参考价值,同时也为监管部门有针对性地开展监管工作提供重要的实证支持。更多还原

【Abstract】 The research shows that the market style has a great impact on the securities investment,and it is more obvious in the A-share stock market.Market style is usually for stock portfolios,when a stock portfolio is known as having a certain style,the stocks in the portfolio usually have a common attribute,which makes these stocks have strong correlation and are different from the other stocks.Generally,market style comes from more basic company characteristics rather than industry characteristics,such as value,growth and so on,these characteristics are also called stylistic factors.Market style has a great influence on securities investment,but there is not much research on market style in China at present.In view of this,the paper makes a comprehensive empirical study on some important market style phenomena in A-share market,which include style momentum,style rotation,style strategies and style influence on investment strategies.Firstly,the paper studies the style momentum effect,then studies the individual momentum effect and industry momentum effect for comparison with the style momentum effect,and further explore the relationship between individual momentum,style momentum and industry momentum.Secondly,the paper studies the style rotation based on the style momentum research,and gives the theoretical explanation of the formation mechanism of style rotation,and further gives the reasons for the formation of style momentum.Thirdly,according to the research conclusions of style momentum and style rotation,some quantitative investment strategy models are constructed,and the strategies evaluation is carried out.Finally,the paper further expands the research scope of market style,we expand the range of style factors,mainly focusing on Smart Beta strategies,and then we observe the influence of market style on investment strategies,mainly analyzing the influence of market style on market neutral strategies.The paper finds that the A-share market has obvious style momentum effect,especially in the daily cycle level and weekly cycle level;individual momentum effect is weaker than style momentum,individual momentum effect only exists in the very short term;industry momentum effect is more significant than both of style momentum effect and individual momentum effect.The paper also finds that the three kinds of momentum effects in A-share market show a trend of gradual enhancement;three types of factors,that is,price,style and industry,which are corresponding to the three types of momentum,reflect the different properties of the stocks;the depth of the stock attributes and the impact on the stock return reflected by these factors are gradually enhanced,which cause different performance of three kinds of momentum effects;A-share market has significant individual reverse effect,style momentum effect and industry momentum effect,and there is also a clear law relationship between the three,it fully shows that the A-share market is not an efficient market.The paper finds that the style rotation is a general phenomenon in the A-share market;the cyclical changes of the pricing factors such as capital cost,risk premium and performance growth rate are the fundamental causes for the formation of the style rotation;the continuous change of macro environment and pricing factors,and with the investors’ adaptive expectations,lead to the persistence of style characteristics in the short and medium term,resulting in the so-called style momentum effect.By using the research conclusions about sylte momentum and sylte rotation,several quantitative investment models are designed and evaluated in this paper.The paper finds that,based on the conclusions about momentum effects and sylte rotation obtained in this study,we can indeed devise efficient quantitative investment models,which also confirms the objectivity of the research conclusions found in this paper.The paper finds that Smart Beta strategies have better performance based on the historical data,and the better performance comes from exposure to specific style factors.The paper further finds that,the Smart Beta strategies have potential risks in China’s A-share market in consideration of A-share’s special market structure and the developing stage,and there is a great uncertainty about whether the Smart Beta strategies can win the benchmark indexes in the future.The paper also finds that the market-neutral strategy hedge funds performance advantage is obvious;and most market-neutral strategy funds are exposed to market risk;the alpha strategy funds also have obvious style factor exposure;alpha strategic funds are highly related to market style factors,because the current effective hedging tools are still insufficient,and the Shanghai and Shenzhen 300 stock index future as hedging tools is widely used;when the market style prefers to small cap stocks or growing stocks,the strategy will perform better;on the contrary,when the market style turns to large cap stocks or value stocks,the strategy will be risky.The conclusions of this paper,not only effectively fill the blank in related academic research,but also has a high reference value for investors,and it also provides important empirical support for the regulatory authorities to carry out targeted supervision.更多还原