| "Momentum Phenomena" and "reverse phenomena" is the most confusing of the stock market "anomalies", its research directly contributed to the birth of behavioral finance and development, and has become a hot issue in recent years, the financial academic. In this paper, the study of Chinese stock markets held in different period of the momentum and the reverse effect of strategic performance, profitability causes and risk factors to enter the market after the results of an impact on whether the strategy, and investors to invest in regulatory policy decision-making and regulators to make recommendations. Research purposes is to analyze China’s stock market experienced the policy aspect, the message surface, the impact of the economic environment and many other door, the investor psychology will be readjusted? Too positive or too conservative? Whether there is systemic change? Previous studies have momentum (chase sell into) and reverse investment strategy (to recover space to kill more than) strategy scholars, because of research methods during the study period, or different, and difficult to further comparative analysis of empirical results obtained consistent results. This paper attempts to arrive at the final multi-level evidence more reliable conclusions.In this paper, the conclusions are summarized as follows:First:The trading day of the week for the limit of zero investment strategy of t test values are significantly negative, but the overwhelming majority of the 1% level significant. Therefore, in order for the unit of trading days within a week of short-term, zero-investment strategy of holding a significant place during the reverse effect, rate of return becomes negative, there is a statistically significant contrarian profits. But even though the trading day as the holding period with the zero-investment strategy to obtain a significant degree-reverse-profit, but the day-degree reverse the absolute value of the profit is very small, with the highest rate of return is only 0.231% clusters. Therefore, if taking into account the actual operation of the transaction costs and adopt a zero-investment strategy in general will not be profitable short-term investments. The day-degree reverse the profit associated with the development period and the length of the holding period of time there may be some degree of relevance.Second:a weekly spot Investment Strategy:In the 49 kinds of different formative portfolio and holding period, a total of 40 shows tend to support the momentum of investment portfolio strategy, only nine combinations show its support for the reverse strategy, and that these policy Strategic original receipts in the entry test conducted after the t statistic, there are four groups of negative returns the portfolio return significantly, the other a total of 13 groups with a significant positive return. In other words, China’s A share market in the immediate holding period momentum to take the full sample under the investment strategy would be more response from the successful investment strategy, but also has significant benefits of these groups are mostly distributed in the formation of life is less than 12 weeks (J<12) on top of the holding period of less than 4 weeks (K<4) above. Period of 1 week to form a strategic investment portfolio, after 1 week showed a significant negative returns, means that if the implementation of ultra-short-term reverse strategy (to form a view within 1 week) may be successful. On the Chinese market, the trading turnover is higher than in mature markets, coupled with the exclusion of evidence in the formation of the interim weeks whether the transactions recorded in individual stocks, so we thought that the market micro-structure explanation seems not a major factor, investors interpretation of behavior should be more reasonable number, ultra-short-term winner in the portfolio are more likely to incorporation of a number of agencies are not adequately controlled chip stocks (or the flow of chips is more dispersed), such ultra-short-term stock performance of super-priority over the institutional test drive, or small and medium investors due to herd behavior, so 1 weeks after the stock fell more than reflected, resulting in the return of ultra-short-term rate of return.Lag a week Momentum Strategies conclusion:the results of the portfolio and the spot the contrary, the ultra-short-term strategy (1,1) to obtain a more significant positive returns, while other strategies did not show consistent profits is less than the corresponding untreated tendency to lag the adjustment strategy on the short term, it seems there is a certain strengthening effect. It is further proof of our above analysis, China’s stock market is not trading or not trading frequently in markets such as micro-structure of the momentum strategy for profitability is not too great, ultra-short-term momentum strategy, the reverse effect of investor behavior is mainlyThird:After adding a risk-adjusted factor CAPM and FAMA three-factor model of the empirical conclusions:Momentum strategies through market size, B/ M ratio and the market adjustment would be able to obtain more significant positive return. Therefore, CAPM model and the Fama-French three-factor model can not fully explain the momentum strategy and reverse the profit performance of investment strategies. But from the empirical results, and long-term investment strategy of the model to explain the relatively more significant increase in short-term loser, the portfolio relative to the winner portfolio is more inclined to a larger scale and lower B/M ratio of the stock.Fourth; take into account the momentum of the reverse strategy of company size empirical conclusions; joined the company inspected the scale of momentum strategies in order to buy small-scale winners and short losers strategy of the best large-scale, in which the winner to buy the company can ensure that small-scale momentum strategy profits, selling the company for small loser momentum strategy will erode earnings. This is because China’s stock market in the shares of small companies, easily manipulated by the agency, and many have a higher stock price level, so the winners move on price momentum, there will be a sustained trend, while the losers are more resilient, to show a strong reversal of. Large companies on the stock, its a loser after being pulled over for the agency to distribute the stock, showing characteristics of high-priced loser stocks, so there will be continued to decline in the trend of stock prices, and its winners continuing is not strong, the short form period of the investment portfolio in terms of winners and there is a strong reversal characteristics.Fifth:Consider B/M momentum of the reverse strategy of empirical findings: High B/M company to reverse a better strategy for profit, that is, high B/M stock losers and winners more easily reversed. High B/M value of the company are mostly companies (value firms), the relative nature of the company’s future development is more limited, so the prices will not rise too much, but the value of the assets of the company because there are more, the stock will not fall too much, with the benefits of a more stable, so the company’s stock prices continue to rise more easily not easy extended losses that stock prices will not continue to move, while a similar regression to the mean (mean reversion) characteristics, so a high B M’s stock price more likely to be reversed, so a high B/M companies in the implementation of the reverse strategy, profitability would be better.On the contrary, the low B/M companies to better the profitability of momentum strategies, ie, low B/M stock losers and winners of an ongoing trend of moving. Low B/M firms are mostly growth companies (grow firms), the relative nature of the future development of the company’s over-optimistic investors to more easily meet the cognitive bias, the price is easy to sought-after and continued to increase, but the growth prospects of the company’s future existence of the more big variable, once the illusion of shattered investors growth may also lead to excessive pessimism, caused stock prices continued to drop in, so in the low B/M company to profitability of momentum strategies is relatively good.This paper is the use of different innovations were the use of the holding period of lag period and the lag period of non-portfolio strategy for inspection and reverse the momentum, and appropriate use of CAPM, Fama-French three-factor model of portfolio risk-adjusted basis, joined the company size. B/M for Market Turbulence Factor analysis of the results of the empirical validation, and draw conclusions after the break. And Finally, conclusions and recommendations to investors and regulators investment strategies of management advice.This inadequacy is due to market factors that affect the rate of return, aside from company size, B/M there is turnover, trading volume, PE values, stock prices, and many other factors are likely to affect the final empirical results. As I level and time constraints, this is only for the Fama-French three-factor model of the company size and B/M values of the reverse momentum strategy validation, the results may be a slight bias, can not fully measure the investment strategy during the different holding differences. On the Chinese market in terms of momentum and causes the reverse effect, with the present data obtained on the above factors should be explored in several areas may be too limited, but also there may be other factors, such as market micro-structure, whether it is because transaction costs are too high or the market on factors such as the lack of short-selling mechanism to prevent the realization of certain arbitrage opportunities, so that abnormal returns can be maintained and so on. Another dimension of the relevant market and the market economy conditions, and fundamentals related companies operating performance, the public recognition of the growing differences in values and with the mentality of the Chinese stock market investors, the relevant factors, which are very significant area of need In the subsequent in-depth studies were discussed. |
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