CAJ | 학술논문

我国股票历史表现如何影响当前收益率？本文通过分析1992年至2012年股票回报率数据，发现我国股票回报率存在超短期的反转效应。与美国等发达国家股票市场不同，我国股市的惯性效应并不显著。我们同时发现，Fama—French三因素模型并不能有效解释我国股票历史表现对当前收益率的影响。进一步研究我国股市收益率反转的特征，我们构造了反转因子。进一步，发展Carhart（1997）和Novy-Marx（2012）的研究结果，本文提出包含反转效应的四因素模型。
아국고표역사표현여하영향당전수익솔？본문통과분석1992년지2012년고표회보솔수거，발현아국고표회보솔존재초단기적반전효응。여미국등발체국가고표시장불동，아국고시적관성효응병불현저。아문동시발현，Fama—French삼인소모형병불능유효해석아국고표역사표현대당전수익솔적영향。진일보연구아국고시수익솔반전적특정，아문구조료반전인자。진일보，발전Carhart（1997）화Novy-Marx（2012）적연구결과，본문제출포함반전효응적사인소모형。
Using the data of share prices from 1992 to 2012 in the Shanghai and Shenzhen stock exchanges, we find that there are reversal effects in the super-short term, but there are merely occasions for the inertia to take effect, which is significantly different from developed stock markets. We also show that the reversal premium cannot be captured or explained by Fama-French three-factor model. Studying the features of the Chinese stock returns, we further structure the momentum factor and present the Chinese four-factor model of asset pricing, which contributes to Carhart （1997） and Novy-Marx （2012）.