CAJ | 학술논문

本文在排除买卖报价反弹、周末效应等干扰因素的前提下，利用分组构建逆势投资组合及Fama-Macbeth回归方法，研究周期下我国股市中的短期收益反转现象。实证结果表明：我国股市中存在短期收益反转现象，短期反转在股票输家中表现更为明显；股票收益的短期反转随着非流动性的增强而增强；我国股市具有极高换手率的投资组合表现出特殊性，极高换手率对股票输家的短期收益反转具有抑制作用，而对股票赢家的短期收益反转具有促进作用。
본문재배제매매보개반탄、주말효응등간우인소적전제하，이용분조구건역세투자조합급Fama-Macbeth회귀방법，연구주기하아국고시중적단기수익반전현상。실증결과표명：아국고시중존재단기수익반전현상，단기반전재고표수가중표현경위명현；고표수익적단기반전수착비류동성적증강이증강；아국고시구유겁고환수솔적투자조합표현출특수성，겁고환수솔대고표수가적단기수익반전구유억제작용，이대고표영가적단기수익반전구유촉진작용。
Under the premise that interference factors such as rebound of bid and asked prices and weekend effect are eliminated, this paper studies the short-run reversals in China’s stock market by applying the contrarian strategy and Fama-Macbeth type regression. The empirical results indicate that short-run reversals exist in China’s stock mar-ket,and loser stocks exhibit more reversals than winner stocks. The short-run reversals increase with the increase of illi-quidity. The turnover rate could hardly show prediction to short-run reversals, but portfolios with extreme high turn-over rate have obvious characteristics. Extreme high turnover will suppress the loser stocks’ short-run reversals, but has an opposite effect on the winner stocks.