【摘要】 本文实证检验了中国股市风格动量。结果表明,以规模、益本比率及净市值比率进行风格划分,国内股市存在显著的中期风格动量,风格动量策略对于大型机构投资者具备实际可操作性。传统风险因子对风格动量缺乏解释力,风格动量反映了股价的可预测性。结果与Barberis和Shleifer(2003)风格水平正反馈交易模型预测基本一致。更多还原

【Abstract】 This study tests style level momentum in the China stock market.By style partition in terms of SIZE,E/P and BM,we find that there are statistically significant profits for style momentum strategy and the strategy is practical for large institution investor.Further analysis indicates that traditional risk factors are insufficient in explaining style momentum and style momentum reflects the predictability of stock price.The results are consistent with the style level positive feedback trading model of Barberis and Shleifer(2003).更多还原