半参数alpha策略的反转效应研究

doi:10.16381/j.cnki.issn1003-207x.2016.12.004

中国管理科学 ›› 2016, Vol. 24 ›› Issue (12): 30-38.doi: 10.16381/j.cnki.issn1003-207x.2016.12.004

半参数alpha策略的反转效应研究

张莉¹, 邓礼英², 周勇^2,3

1. 西北大学经济管理学院, 陕西西安 710127;
2. 海财经大学统计与管理学院, 上海 200433;
3. 中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2015-11-23 修回日期:2016-05-03 出版日期:2016-12-20 发布日期:2017-03-07
通讯作者: 周勇(1964-),男(汉族),广西北海人,中国科学院数学与系统科学研究院研究员,上海财经大学统计与管理学院教授,博士生导师,研究方向:金融计量、数量金融与风险管理、生存分析,E-mail:yzhou@amss.ac.cn. E-mail:yzhou@amss.ac.cn
基金资助:
国家自然科学基金重点项目（71331006，91546202）；国家自然科学基金资助项目（71271128）；中国科学院重点实验室（2008DP173182）；国家数学与交叉科学中心（2008DP173182）；长江学者和教育部创新团队发展计划（IRT13077）；上海财经大学创新团队支持计划（IR TSHUFE13122402）；国家自然科学基金青年项目（11601424）；教育部青年基金资助项目（15YJC910009）；博士后科学基金面上项目（2015M580867）；博士后科学基金特别资助项目（2016T90940）；西北大学自科基金资助项目（14NW31）

Contrarian Effect of Semi-Parametric Alpha Strategy

ZHANG Li¹, DENG Li-ying², ZHOU Yong^2,3

1. School of Economics and Management, Northwest University, Xian, China;
2. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China;
3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

Received:2015-11-23 Revised:2016-05-03 Online:2016-12-20 Published:2017-03-07

摘要/Abstract

摘要： 文章考虑风险与收益的时变性，提出了变系数市场模型以便更好的捕获市场风险变化因素，建立了半参数alpha策略模型，并以沪深300指数及其成分股为研究对象，利用该半参数模型构建可以取得alpha策略反转效应的股票组合，文章还对半参数alpha策略的反转效应的持有期长短、股票稳定性对反转效应的影响进行了研究。实证结果表明所提出的模型可以作为较为理想的预测工具，同时也为提高投资收益和管理投资风险提供了一定的理论参考。

关键词: alpha策略, 半参数变系数模型, 反转效应, 累计收益

Abstract: In this article, a semi-parametric alpha strategy model is proposed. The benefit of the proposed model is that the time-varying coefficient can explain the time point risk rather than the risk in a period of time. The local least square method is used to estimate time-varying coefficient and the estimate of alpha is easily derived by solving an estimating equation. Based on the semi-parametric model, the 30 low-ranking stock portfolios of alpha value are selected to observe the contrarian effect. It's found that the stock portfolio is better than market return and gain premium, showing the contrarian effect. The influence of the holding length and the stability of a stock on contrarian effect are also studied, and it's found that the selected stock portfolio performs better than CSI 300 index and its constituent stock. The empirical analysis proves that the semiparametric model can serve as a comparatively better predicting model, and our results can provide some theoretical references for managing risk and improving return.

Key words: alpha strategy, semiparametric varying-coefficient model, contrarian effect, accumulated income

中图分类号:

F830.9
O212

张莉, 邓礼英, 周勇. 半参数alpha策略的反转效应研究[J]. 中国管理科学, 2016, 24(12): 30-38.

ZHANG Li, DENG Li-ying, ZHOU Yong. Contrarian Effect of Semi-Parametric Alpha Strategy[J]. Chinese Journal of Management Science, 2016, 24(12): 30-38.

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半参数alpha策略的反转效应研究

Contrarian Effect of Semi-Parametric Alpha Strategy

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