| In this paper,we combine fundamental and technical signals to construct new investment strategy,and succeed to achieve abnormal returns.Firstly,we use catastrophe progression method to construct integrative fundamental signal with twelve fundamental signals.We divide all tradable stocks in the market into three groups according to their integrative fundamental signals last year.Then we hold each group for one year.We test the strategy for fifteenth times.It turns out that the average returns of the three groups decline with the decline of their integrative fundamental signals.Secondly,we test the pure momentum and contrarian strategy.We divide all tradable stocks in the market into three groups according to its returns during the observation period.Then we hold each group for one month.We test the strategy for 180 th times.It turns out that the annual average returns and sharp ratio of the three groups declines with the increase of the observation returns.The t-test of the high group shows that it can significantly produce positive returns.So the contrarian strategy is useful in China's stock market.We have changed the length of the observation period and number of groups to test the robustness of the strategy,and it turns out that it is useful all the way.Thirdly,we combine the integrative fundamental signal with contrarian signal to construct new strategy.We divide all stocks in the market into three groups according to their integrative fundamental signals,and then divide stocks in each group into three groups according to its returns during the observation period.In the way,we build nine portfolios.We hold them for one month,and we test the strategy for 180 th times during 2001 to 2015.The high-high group beat the low-low group.The annual average returns and sharp ratio of the high-high group beat the benchmark strategy,and produce abnormal returns.The strategy holds useful when we make the out-of-sample test during 2016.It continuously produce abnormal returns. |
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