摘要
本文首次探讨了动量效应与反转效应的相互演化现象,认为,投资者对公共信息的从众行为、对私人信息反应强度更高是二者周期性相互演化的根源;其演化遵循"动量效应(反转效应)出现→增强→减弱→反转效应(动量效应)出现→增强→减弱→动量效应(反转效应)再出现"的规律;实证结果显示,深圳A股市场的动量效应与反转效应的确存在类似的周期性相互演化规律,尽管演化的周期长度并不固定。
The paper takes the lead to study the mutual transformation of momentum effect and reversal effect, concluding that investors＇ blindly conforming to public information and stronger reaction to private information are the source of periodically mutual transformation, which follows the process of ＂momentum （or reversal） effect emerging→trengthening→eakening-→eversal （or momentum） effect emerging→ strengthening→weakening-→momentum （or reversal） effect reemerging＂. Empirical researches show that the mutual transformation of momentum effect and reversal effect does exist in Shenzhen A-share stock market, although the length of the cycle is not constant.
出处
《管理评论》
CSSCI
北大核心
2012年第1期52-57,共6页
Management Review
基金
中国博士后科学基金(20100480988)
关键词
动量效应
反转效应
相互演化
momentum effect, reversal effect, mutual transformation
