低不确定性的动量和反转策略

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-26 DOI:10.1016/j.frl.2024.105970

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引用次数: 0

摘要

我们提出的增强型动量和反转交易策略考虑了入市时机的因素。市场进入时机由两个标准决定：(1) 用于预测交易回报的模型的不确定性较低，以及 (2) 预测回报为正值。利用中国股市的每日数据，我们证明了典型的动量和反转交易策略通常会产生负收益和偏度，而我们的增强策略则始终表现出正收益和偏度。此外，我们还证明，实施这两个标准并不会显著减少交易机会，在整个样本期间，确定的入市日分布均匀。

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Momentum and reversal strategies with low uncertainty

We propose augmented momentum and reversal trading strategies that incorporate considerations of market entry timing. Market entry timing is determined by two criteria: (1) low uncertainty of the model used to forecast trading return, and (2) a positive forecasted return. Utilizing daily data from the Chinese stock market, we demonstrate that while canonical momentum and reversal trading strategies typically yield negative returns and skewness, our augmented strategies consistently exhibit positive returns and skewness. Additionally, we show that implementation of the two criteria does not significantly diminish trading opportunities, with identified market entry days evenly distributed throughout the sample period.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance