朱玉杰,王铁琪,王浩

• 1:清华大学经济管理学院金融系

摘要(Abstract)：

本文通过梳理动量效应研究的相关建议,以排序方法、可变窗宽和操作频率三个方向为出发点,在策略构建中引入序列变点技术,验证中国A股市场存在动量效应,为Carhart四因素模型改进提供支持。本文指出A股市场个股做空机制缺失导致自融资策略难以实现,给出做空部分单独处理的实证研究改进。本文通过Fleming et al.(2001)的相应研究框架,给出序列变点策略的经济价值。

关键词(KeyWords)： 资产定价;动量效应;Fama-French三因素模型

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 朱玉杰,王铁琪,王浩

DOI: 10.16513/j.cnki.cje.2017.03.003

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• (1)该文的另一个结论值得监管关注。台湾市场开放前,其市场结构以个人投资者为主,动量效应不明显。而开放后境外机构投资者的增加使得动量效应更加显著。
• (1)可以参考Gupta et al.(2010),Marshall and Cahan(2005),Malin and Bornholt(2010),Du(2008),George and Hwang(2004),Liu et al.(2011)与Bhootra and Hur(2013)。
• (1)蒙特卡罗法生成的具体操作:对于每一个确定的α数值,产生1百万个序列,每个序列包含5000个数据点。数据点中不包含变点。且由于此处使用的方法不依赖分布,所以,可以使用标准正态分布来作为随机数生成器。对于每一个序列,依次对每一个时间点t进行Nmax,t的计算。进而得到基于1百万个序列所产生的Nmax,t分布,于是获取ht。
• (1)软约束假定,该策略管理账户市值可以为负,由此更关注策略本身操作所带来的收益情况。现实中,策略账户仅为管理层级较低的子账户符合此类应用场景。硬约束假定,该策略管理账户市值不能为负,由此会同时考虑账户所剩金额对策略本身造成的影响。现实中,单一个人账户更符合此类应用场景。
• (1)调整收益率仅依据组合内未停盘的个股统计收益率序列。