An Empirical Study Of Momentum Strategy Based On Fair Value

January 1, 2007 it has been introduced a fair value accounting standards in China. To a certain extent, it will change the financial accounting information on the basis of the traditional measurement, lead to the sustainability of earnings is not strong, incremental value relevance of equity investment of listed companies based on measurement attributes of fare value, further affect the stock returns, cause investment vision. For this reason, under the control of the market risk, size risk and the book value divided by market value risk, whether the use of fair value will bring about new vision, and if the new investment anomaly exist, contniue to explore the impact of the new vision were discussed in this paper by methods of theoretic analysis and empirical testing.There are three parts in this paper. Corresponding contents and conclusions are as follows:First part of this paper includes chapter 2.This section describes the introduction and review of the theoretic controversy among function lock hypothesis, behavioral finance theory, efficient market hypothesis and provide theoretical basis for this paper.Second part of this paper includes chapter 3,4 and it is the core of this paper. In chapter 4,through Fama-French three factor model regression on the sample companies, testified by methods of mean value test and Wilcoxon signed-rank test, found it still presents abnormal return under the control of the market risk, size risk and the book value divided by market value risk——By building a Buy and sell portfolio it will achieve cumulative abnormal returns average 6.04% and the cumulative abnormal return was significantly different from zero, measured by the fair value generate new investment anomaly. And the smaller proportion of fair value change gains and losses to net profit, the higher the future return on investment; On the contrary, the greater proportion of fair value changes gains and losses to net profit, the lower the future return on investment. Another finds also show: transaction costs will indeed be the influence factor of the investment anomaly caused by fair value change gains and losses.At the same time,it also finds that the greater the transaction costs, the higher the risk arbitrage, mispricing the more difficult to eliminate, the higher the abnormal return.Third part of this paper includes chapter 5. In this chapter, it concludes the main conclusions of this paper and policy proposals. Under the fair value method, Investors need to consider investment vision due to fair value when they make investment decisions. This part of the profits should be as non-sustainable earnings, can not invest according to total profits blindly.