曲荣华,刘扬

• 1:中信建投证券股份有限公司投资银行部
• 2:清华大学经济管理学院

摘要(Abstract)：

基于2000年至2018年的个股日度数据,本文发现中国A股存在显著的隔夜-日内反转效应,即隔夜收益率更低(高)的股票,在当日将获得更高(低)的日内收益率。区别于基于收盘价收益率的传统反转效应,该效应具有更优异的多空策略表现:日度收益率高达1.12%,年化夏普率为18.02。在控制了公司规模、账面市值比等特征以及经典的风险因子之后,其策略表现仍具有稳健性。进一步实证分析发现,该效应不仅随股票非流动性的加剧而增强,还随个股卖空限制的增强以及散户持股比例的提高而增强,这说明流动性溢价和投资者情绪是其背后的主导因素。本文的研究不仅为理解股票定价机制提供了更微观的新视角,也具有较强的投资实践价值。

关键词(KeyWords)： 隔夜-日内反转;横截面收益率;流动性;投资者情绪

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 曲荣华,刘扬

DOI: 10.16513/j.cnki.cje.20201208.002

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• (1)在后文第4部分,我们将以组合排序的传统方法构造策略,结果依旧稳健。
• (2)此外,我们还检验了形成期和持有期收益率分别为t-1天和t天隔夜收益率的CO-CO策略。与Lou et al.(2019)在美国股市的结果相吻合,该策略表现为动量策略,其结果因为篇幅限制而未汇报。
• (3)CC-CC和OC-OC策略均表现为动量策略。若将其多空头寸调换,对应策略的收益率将为正数,偏度和夏普率也将取相反数。
• (4)为了更方便地看清时间趋势,该图汇报的是策略日度收益率的月度(假定22个交易日)移动均值。
• (5)假定每个月22个交易日。选取其他的窗口区间,比如过去1个月或过去6个月,构建波动率指数,回归所得结果类似。
• (6)我们还按照EP和ROE进行了分组,结果与BM很类似,因为篇幅限制而未汇报。
• (7)各因子模型皆基于全市场股票构建。如果按照Liu et al.(2019)剔出最小30%的小股票,结果依旧稳健。
• (8)反转因子(REV)的策略形成期收益率为过去20天收益率,持有期为接下来的5天,具体的构造方式参见Liu et al.(2019)。
• (9)A股融券业务开启时间为2010年4月。最初支持融资融券业务的股票数仅为42只,占A股股票总数2.4%;2012年初,支持融券股票数为277(约占12%);2018年7月,支持融券的股票数为949(约占27%)。