Lecture06Momentum交易策略.ppt

Momentum 交易策略 Returns to Buying Winners and Selling Losers：  Implications for Stock Market Efficiency 《Journal of Finance》,1993,65-126. 文章结构 Introduction Trading Strategies The Returns of Relative Strength Portfolios Sources of Relative Strength Profits Profitability of RSS Within Size- and Beta- based Subsamples 文章结构（续） Subperiod Analysis Performance of Relative Strength Portfolios in Event Time Back-Testing the Strategy Stock Returns Around Earnings Announcement Dates Conclusions Introduction: Contrarian Strategies(1) A popular view: individuals tend to overreact to information. A direct extension: De Bondt and Thaler(1985、1987) Stock prices also overreact to information：contrarian strategies (buying past losers and selling past winners) achieve abnormal returns.(反向投资策略) Debate: unclear whether their results can be attributed to overreaction. 1. Can be explained by the systematic risk of their contrarian portfolios and the size effect. 2. The long-term losers outperform and the long-term winners only in Januaries. Introduction: Contrarian Strategies(2) More recent papers:Jegadeesh(1990) and Lehmann(1990) shorter-term return reversals (a week or a month based). However, their apparent success may reflect 1. the presence of short-term price pressure, or 2. a lack of liquidity in the market, rather than 3. overreaction. (Jegadeesh and Titman(1991)) In addition, a large part of the abnormal returns is attributable to a delayed stock price reaction to common factors rather than overreaction. (Lo and MacKinlay(1990)) Introduction: Relative Strength Strategies(1) Early literature on market efficiency focused on: Relative Strength Strategies (RSS) to buy past winners and sell past losers Most notably, Levy(1967): a trading rule that buys stocks with current prices that substantially higher than their average prices over the past 27 weeks realizes significant abnormal returns. Jens