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1、股价前期高点、投资者行为与股票收益－中国股票市场的经验研究FormationPeriod:XmonthsHoldingPeriod:YmonthsAtthebeginningofeachmontht,stocksarerankedinascendingorderaccordingtopastreturnofpastXmonths.Stocksrankedinthetop20%constitutethewinnerportfolio,stocksinbottom20%constitutetheloserportfolio,Thesep
2、ortfoliosareequallyweighted.Thestrategyistohold,forYmonths,aself-financingportfoliothatislongthewinnerandshorttheloserportfoliosTraditionalmomentumstrategy,(X,Y)(JT,1993)tLiterature52-week(12-month)highmomentum(GeorgeandHwang,2004)Aself-financingstrategythatbuysthetop2
3、0%andsellsthebottom20%ofstocksrankedbythenearnessofstockpricetoits12-monthhighestprice,andholdsthepositionsfor6monthsNearnesstothe52-weekhighisabetterpredictoroffuturereturnsthanarepastreturnsNearnesstothe52-weekhighhaspredictivepowerwhetherornotstockshaveexperiencedex
4、tremepastreturnsConsideringinvestorbehavioralbiasMotivationGeorgeandHwang(2004)52-weekhighismostreadilyavailabletoinvestorsVirtuallyeverynewspaperthatpublishesstockpricesalsoidentifiesthestocksthathit52-weekhighsandlowsWhyare52-week?Howabout26-weekhigh,or12-weekhigh?Mo
5、tivationTheevidencesoftraditionalmomentuminChina’sstockmarketaremixedKang,LiuandNi(2002)Momentumstrategywithformationandholdingperiodsof16,20,or26weeksaresignificantlyprofitableWang(2004)Momentumstrategywithformationandholdingperiodslessthan26weeksareinsignificantlypro
6、fitableComparisonbetweentraditionalmomentumand52-weekhighmomentumMainIssuesTheprofitabilityofthe52-WeekHighMomentumStrategyinChinamarketRobustnessforformationandholdingperiodComparisonbetweentraditionalmomentumand52-weekhighmomentumMajorFindingsThe52-weekhighmomentumis
7、moreprofitableinChinamarketthanUSmarket.Theprofitabilityofx-monthhighmomentumisrobustfor6,9,12monthsformationandholdingperiodSeparationbetweentraditionalmomentumand52-weekhighmomentumDataandMethodologyCenterforChinaEconomicResearch(CCER)DatabaseSamplePeriod:January1994
8、toJune2003Methodology:JT(1993)andGH(2004).EmpiricalResultsTheaveragemonthlyreturnfor52-weekhighmomentumstrategyinChin
