等权重组合管理超额收益实证研究—来自沪深300证据.pdfVIP

Management Science and Engineering 管理科学与工程, 2016, 5(4), 227-236 Published Online December 2016 in Hans. /journal/mse /10.12677/mse.2016.54025 Empirical Study on the Excess Return of Equal-Weighted Portfolio Management —Evidence from CSI300y Yujun Yan, Huixian Ding University of International Business and Economics, Beijing th th th Received: Dec. 9 , 2016; accepted: Dec. 27 , 2016; published: Dec. 30 , 2016 Copyright © 2016 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Open Access Abstract Using the method of Plyakha, Uppal and Vilkov (2012), we construct equal-weighted portfolios and cap-weighted portfolios from the CSI 300 constituent stocks and it’s found that the equal-weighted portfolio in China does exist excess returns. Finally, we divide total return into systematical return and alpha return, finding that the excess of systematical return comes from high exposure to mar- ket factor and size factor based on the Fama-French model and the excess alpha comes from the rebalancing of the constituent stocks, which is actually a contrarian strategy. Keywords Equal-Weighted Portfolio, Cap-Weighted Portfolio, Fama-French 3-Factor Model 等权重组合管理超额收益实证研究 —来自沪深300的证据 严渝军，丁慧娴 对外经济贸易大学，北京 文章引用: 严渝军, 丁慧娴. 等权重组合管理超额收益实证研究[J]. 管理科学与工程, 2016, 5(4): 227-236. /10.12677/mse.2016.54025 严渝军，丁慧娴 收稿日期：2016年12月9 日；录用日期：2016年12月27 日；发布日期：2016年12月30 日 摘 要 本文通过实证分析，运用Plyakha、Uppal和Vilkov (2012) 的方法，从沪深300指数的成分股选取股票构 建等权重组合与市值加权组合，对其10年的月收益率进行测算，发现等权重的投资组合在我国确实存在 超额收益；然后，本文将总收益分解为系统性收益与alpha收益，从这两个方面分别探索等权重组合超 额收益的来源。运用Fama-Fr