惯性和反转策略套利对股市的影响被引量：1

Effect of Momentum(Reversal) Strategies Arbitrage on Stock Markets

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摘要整理惯性和反转策略的业务流程,构建了其收益率的理论模型,提出并证明了回报率预算定理和风险预算定理。分析表明,惯性和反转策略的套利行为使得目标市场的回报率区间下移,下移的幅度极限为市场最大的个股收益率;而且成倍放大市场总风险,减少社会福利。 Momentum （reversal） strategies in stock markets have become one of main security investment strategies at heart of investors. After studied in-depth, this paper constructed the behavior model of momentum （reversal） strategies, the theoretical model of its return, the model of its return rate budget and its risk budget which have been proved. Studies revealed that momentum （reversal） strategies in stock markets lowered down the position of market return by degree to maximum market individual return rate, while doubled the market total risk and resulted in reduce of social welfare.

作者王晓国尹恕好王礼生

机构地区渤海证券博士后工作站南开大学经济学院天津大学管理学院中南大学商学院

出处《系统工程》 CSCD 北大核心 2006年第2期68-71,共4页 Systems Engineering

关键词反转策略惯性策略套利社会福利 Momentum （Reversal） Strategies Arbitrage Social Welfare

分类号 F830 [经济管理—金融学]

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参考文献10

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二级参考文献22

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