【作者】 丰赋；

【导师】 胡昌生；

【作者基本信息】 武汉大学 ， 金融学， 2004， 硕士

【摘要】 本文用实证检验的方法考察了动量和反转投资策略在我国市场上的盈利性，并进一步研究基金对于这两种投资策略的应用及其跟绩效的相关性，考虑到常用的绩效评价方法全部是事后评价方法，本文试图引入一种事前评价指标来对基金未来的绩效进行有效的预测，从而为国内投资者选择基金组合提供依据。 全文共分为四章，第一章从市场有效性出发，分析了对于市场有效性的不同观点：EMH和行为金融理论。讨论了金融异象对有效市场的质疑，并重点对基于反应不足和反应过度的动量和反转投资策略的国内外相关研究状况进行了描述； 第二章利用周交易数据检验了两种投资策略在中国的盈利性，并进一步通过子区间检验证实了我国市场上反转策略的盈利性更稳定和显著； 第三章论述了机构投资者常用的几种投资策略，通过对基金业绩持续性的探讨，指出了事后评价基金投资业绩指标的局限性，提出了事前预测基金业绩的指标； 第四章通过建立一个衡量基金应用动量和反转策略的指标对基金应用这两种投资策略做出判断，并跟基金事后的业绩进行相关分析，提出了适合用作事前预测的指标，最后对基金根据该指标进行排名，为投资者提供选择基金的参考。更多还原

【Abstract】 This paper uses the empirical method to investigate the profitable of momentum strategy and contrarian strategy in China, and tests the relativity between the applying of these strategies by mutual fund and it’s performance. Considering usual performance evaluation method is post-evaluation, this paper tries to induce a pre-evaluation index to predict the future performance of mutual fund. The index can deliver theoretical method to optimize the fund choice.This paper consists of 4 chapters. Chapter 1 focuses on the efficiency of the market and compare with different views of EMH and Behavior Finance. We will doubt on the EMH by the anomalies, especially based on under-reaction and over-reaction, some savant offered momentum strategy and contrarian strategy. We summarize the studies on it.Chapter 2 tests the profitable of momentum strategy and contrarian strategy by using the week exchange data, and prove the stability and prominence of the profitable of these two strategies by dividing the time zone into 3 sub time zone.Chapter 3 introduces usual investment strategies by institutional investors. Considering the persistence of mutual fund performance, we figure out the limit of the post-evaluation method and offer the per-evaluation index to predict the future performance.Chapter 4 presents a pre-evaluation index to measure the applying of momentum strategy and contrarian strategy of mutual fund, and analyses the relation of the pre-evaluation and post performance. At last, we offer a pre-evaluation index to predict the future performance and order the mutual fund by the index.更多还原