摘要
分别以中国股票市场的A股和美国股票市场的普通股为样本,研究了两个市场最大日收益率效应产生的原因及基于月内最大日收益率的投资策略。通过单变量组合水平分析发现中、美股票市场均存在最大日收益率效应。通过组合特征分析及Fama-Mac Beth截面回归分析,发现在中国股票市场上,流动性冲击对最大日收益率效应有较好的解释作用,然而在美国股票市场,最大日收益率效应是由股票的月收益率逆转效应造成的,最大日收益率效应仅是股票收益逆转的表象。通过构建零成本多空组合策略,以及考虑到卖空限制的多头组合策略,发现当股市处于下跌期时,中、美两国的投资者均可采取基于月内最大日收益率的多空组合策略,不仅可以避免损失还可获得显著的溢价收益;考虑到卖空受限,采取多头策略平均可获得比多空策略更高的收益。
The sample includes all China A shares,and NYSE,Amex,NASDAQ ordinary common stocks. We study the causes of the maximum daily return effect in the stock markets of China and America,and study the investment strategy based on the maximum daily return. Using univariate portfolio-level analyses,the maximum daily return effect is also found in Chinese stock market as in American stock market. Portfolio feature analysis and Fama-Mac Beth cross-sectional regressions indicate that the significant maximum daily return premium can be explained by liquidity shock in Chinese stock market,and can be completely captured by the reverse effect of monthly return in American stock market. Based on short and long position of zero cost or long position strategy taking into account short selling restrictions,we find that not only American investors but Chinese investors can gain significant premium through short and long position of zero cost based on maximum daily return when the stock market is in a bear market,and long position strategy have higher returns than zero cost or long position strategy considering short selling restrictions.
出处
《经济问题》
CSSCI
北大核心
2018年第1期27-35,共9页
On Economic Problems
基金
国家自然科学基金资助项目(71371113)
国家社会科学基金项目(15BJY164)
关键词
最大日收益率
收益逆转
流动性冲击
the maximum daily return
return reverse
liquidity shock
