中国市场行业内反转收益研究

研究我国A股市场更广泛存在的短期反转收益——月度行业内反转收益.行业内反转收益是传统的非条件反转收益在行业维度上的分解收益.非条件反转被定义为没有加入行业风格的反转策略,它是指单纯的买入基本面输家组合与卖出基本面赢家组合的反转策略.相对于非条件反转策略,行业内反转策略收益表现更加良好,甚至在高流动性,大市值股票样本中仍然能获得显著的α收益.从投资者对公开信息的反应以及订单流不平衡两个角度探究月度行业内反转收益的来源,发现行业内反转主要受到订单流不平衡的驱使,而不是由于投资者对公开信息的过度反应.

The Intra-industry Reversal in China Stock Market

This paper focuses on the more pervasive monthly intra-industry return reversal of the A-share stocks in China stock market.The intra-industry return revesal is the decomposition part of unconditional reversal.The unconditional reversal in this paper is defined as a reversal strategy which is not related to industry style.Compared with unconditional reversal strategy consist of the longing market loser portfolio and shorting the market winner portfolio,the intra-industry strategy reversal performs better,which,even in high liquid stocks and large stocks,has obtained much significant α return.We explain the source of intra-industry return and find that it is driven by order imbalance not the reaction of investors to public information announcement.