“强者”一定“恒强”吗？——来自中国股票型公募基金动量效应研究的新发现

王  浩; 李晓帆; 陈伟忠

“强者”一定“恒强”吗？——来自中国股票型公募基金动量效应研究的新发现

引用本文：王浩，李晓帆，陈伟忠.“强者”一定“恒强”吗？——来自中国股票型公募基金动量效应研究的新发现[J].财经理论与实践,2020,(4):31-38

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作者	单位
王浩，李晓帆，陈伟忠	（同济大学经济与管理学院，上海 200092）

中文摘要:以2014-2018年中国股票型公募基金市场为样本，改进基金动量组合构造方法，并提出中国公募基金市场“新动量效应”。研究发现：传统动量效应稳健性较差并存在较高“动量崩溃”风险，而剔除历史上表现“最好”的基金，则可以显著提高动量组合收益稳健性;同时，“新动量因子”具有更加稳健的股票横截面定价能力；最后，从“投资者关注”和“处置效应”两个角度，对“新动量因子”存在机制作出了理论解释。

中文关键词:新动量效应定价因子投资者行为投资组合

Do Winners Really always Become Winners?——An Empirical Study on Momentum Effect of Chinese Public Offering Stock Funds

Abstract:With the new regulations on information management releasing in 2018, it is a focus problem on making out the price pattern of fund market and optimizing fund portfolio for institutional investors. Based on the sample of China's stock public funds from 2014 to 2018, this paper improves construction of momentum portfolio and first proposes "new momentum effect", and finds out traditional momentum effect is of low robustness and high "momentum crash" risk, whereas the robustness can be improved when kicking off funds with best performance. The new momentum effect shows higher pricing ability. Finally this paper provides explanation of new momentum effect through "investor attention" and "disposition effect".

keywords:new momentum effect pricing factor investor behavior portfolio

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