【作者】 郑磊；

【导师】 杜倩倩； 任志强；

【作者基本信息】 上海交通大学 ， 工商管理（MBA）（专业学位）， 2017， 硕士

【摘要】 有效市场假说认为,所有信息都会被股票市场充分快速反映,在风险调整的基础上投资者无法持续打败市场获得超额收益。然而在市场实际运行中,存在很多异常现象,如动量效应和反转效应。有效市场理论对于这些现象的解释难以令人信服。动量效应源于股市中股票价格收益的持续性,反转效应体现为股票价格收益向前期相反的方向变化。从行为金融学的观点看,股票市场中投资者的反应不足导致动量效应的产生,投资者的反应过度会带来反转效应。我国目前在动量效应和反转效应的研究方面已经有一定进展,但未形成统一的结论。本文以国内创业板个股为研究对象,在国内外学者研究的基础上,对动量交易和反转效应的存在性进行了实证研究。本文的研究数据来源于创业板个股从2010年4季度至2016年年底的收益数据。研究结果表明,我国创业板个股在短期内无法观察到明显的动量效应,在12周内存在较为显著的反转效应。没有证据显示市场牛熊周期和交易成本对动量效应和反转效应有决定性影响。本文对(12,5)的反转交易策略进行了验证,结果显示(12,5)的反转交易策略较创业板基准有明显的超额收益。通过对HS模型进行改进,本文在理论上对创业板的研究结果进行了解释。更多还原

【Abstract】 Efficient-market hypothesis(EMH)is traditional financial theory that states an asset’s price fully reflects all available information.It is impossible for Investors to beat the market consistently on a risk-adjusted basis and get excess return.However,Efficient-market hypothesis can’t provide convincing evidence to explain many anomalies in reality.Momentum effect,which arises from the durability of stock return,is one of them.On the basis of behavior financial theory,momentum stems from underreaction and constrain is derived from overreaction.Scholars in China have made progress in this field,but a wide dispute is still there.This article focus on the return of stocks listed on ChiNext board.Based on historical researches,this paper use the weekly return data from the fourth quarter of 2010 to the end of 2016 to examine the momentum and contrarian effect of stocks listed on ChiNext board.The result indicates that the momentum can’t be observed in short term while the contrarian effect is significant in 12-weeks period.No evidence shows market cycle or trading cost has a significant influence on momentum and constraint effect.This article tests the(12,5)reversal strategy and it shows the strategy can gain excess return compare to ChiNext index benchmark.By using improved HS model,this paper offers an interpretation for the research result.更多还原