短期序号动量和符号动量

Short-term Rank Momentum and Sign Momentum

中文关键词:  动量效应  非参数统计  序号动量  符号动量  凸显效应

英文关键词:momentum effect  non-parametric statistics  rank momentum  sign momentum  salience effect

中文摘要:

      考虑到非参变量具有避免参变量易受极端观测值影响的优点,基于2007—2023年中国A股上市公司数据,通过使用两个非参变量(序号指标和符号指标)替代参变量收益率指标,考察了中国A股市场中是否存在短期动量效应。研究发现:(1)全样本中不存在月度序号动量和符号动量效应,但其动量组合收益率明显高于显著为负的月度价格动量组合收益率；(2)部分样本中存在短期序号动量和符号动量效应,最大日收益率低的股票、已实现方差低的股票和尾部风险低的股票中序号动量和符号动量的等权重组合收益率及其异常收益率显著大于零；(3)基于市场交易方面的8个特征变量构建的增强型序号动量组合和符号动量组合中有近半数具有显著的正收益率和异常收益率；(4)序号指标和符号指标可以通过特征变量的负向作用来提升其对个股下月收益率的解释能力,序号动量和符号动量组合收益率得以提升的主要原因在于组合中的股票具有相对较低的凸显效应。

英文摘要:

      Considering the advantage of non-parametric variables in avoiding the sensitivity to extreme observations inherent in parametric variables, and using data from China's A-share listed companies from 2007 to 2023, this study examines the existence of short-term momentum effects in the Chinese A-share market by replacing the parametric return indicators with two non-parametric variables (rank indicator and sign indicator). The results are as follows. (1) There are no monthly rank momentum and sign momentum effects in the full sample, but the momentum portfolio returns are significantly higher than the significantly negative monthly price momentum portfolio returns. (2) In certain sub-samples, short-term rank momentum and sign momentum effects exist, with equal-weighted portfolio returns and their abnormal returns significantly greater than zero for stocks with low maximum daily returns, low realized variance, and low tail risk. (3) Nearly half of the enhanced rank momentum and sign momentum portfolios constructed based on eight characteristic variables related to market transactions exhibit significant positive returns and abnormal returns. (4) The rank indicator and sign indicator can enhance their explanatory power for individual stock returns in the following month through the negative impact of characteristic variables, and the enhanced returns of rank momentum and sign momentum portfolios stem from the relatively lower salience effect of the stocks in the portfolios.