Formulation versus Holding Horizons, Time Series Predictability and the Performance of Contrarian Strategies

形成與持有期限、時間序列可預測性與反向操作策略績效

鍾惠民(Hui-Min Chung) ； 周賓凰(Pin-Huang Chou)

《中國財務學刊》 7卷2期 (1999/08) Pp. 1-27

https://doi.org/10.6545/JoFS.1999.7(2).1

摘要

反向操作策略之績效取決於資產報酬之時間序列性質及個別資產期望報酬之橫斷差異。在給定報酬率的時間序列結構下，同一資產可因其形成期長度不同而被歸類為贏家或輸家，據此所構建之反向操作策略的績效也會隨著持有期間長短而有所改變。以東京股市為例，本文發現不論形成期間為何，反向操作策略在三年內皆可獲利，而且，報酬負自我相關為其利潤的主要來源。

關鍵字

反向操作策略 ； 自我相關 ； 投資期限

並列摘要

The performance of contrarian strategies relies on the time series properties of stock returns (including self- and cross-autocorrelation) as well as on the cross-sectional variation in expected returns of individual securities. Given the return generating process or time series structure, a stock might be identified as a loser and a winner as well. depending on the length of the ranking (formation) period. Henceforth, the contrarian performance over different holding horizons also depends on the time series properties. Based on monthly returns data for all stocks listed on the Tokyo Stock Exchange (TSE), this paper investigates the contrarian performance over various ranking and holding horizons ranging from one month to three years. Empirical results show that contrarian strategies are profitable for all horizons. On average, we find that negative autocorrelation (market overreaction) is the major source of the contrarian profit.

並列關鍵字

contrarian ； momentum ； autocorrelation ； cross-autocorrelation ； investment horizon