Applicability Analysis And Improvement Of Reverse Investment Strategy In A - Share Market

By analyzing the data of all the A-shares listed on Shanghai and Shenzhen Stock Exchange during the period from January1992to December2012, the author explored the possibility that the Contrarian Investment Strategy can make profits in Chinese stock market. The result is that in Chinese stock market, investors can make profits by using Contrarian Investment Strategy with long ranking period and long holding period. After that, the author analyzed the relation between the return of Contrarian Investment Strategy Portfolio and three factors, which are excessed market return, SMB(the difference between the return of portfolio made up by stocks with small size and of portfolio made up by stocks with big size), HML(the difference between the return of portfolio made up by stocks with high BM ratio and of portfolio made up by stocks with low BM ratio). According to the result, the author divided the Contrarian Investment Strategy into four types, which are called short-ranking-and-long-holding period Contrarian Investment Strategy, short-ranking-and-short-holding period Contrarian Investment Strategy, long-ranking-and-short-holding period Contrarian Investment Strategy and long-ranking-and-long-holding period Contrarian Investment Strategy. To each situation, the author found a improve method and at last gave a new Contrarian Investment Strategy which can make more profits than the old one and can also make profits in short or medium term. The purpose of this paper is to a profit model and its improving method to Chinese Investors.