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中国资产办理研讨中央2020-01-09 12:17:17

微观经济危害与动量利润的时节性

      Journalof Financial Markets·Volume 36·November 2017



著作人:Xiuqing Ji  (College of Business, Governors State University),J. Spencer Martin (Faculty of Business and Economics, University of Melbourne),Yaqiong Yao (Department of Accounting and Finance, Lancaster University Management School)

择要:微观经济危害与股价动量之间干系的争论日益添加,本文对此做了一些研讨。不只动量是具有时节性的,净因子表露也是云云。我们发明,赢家和输家仅在1月份的微观经济因子载荷上具有差别的体现,即输家压倒性地赛过赢家的一个月。在一年里除了1月外的剩余日期里,动量的确存在,但赢家和输家的因子载荷简直完全抵消。别的,微观经济危害溢价的幅度与动量相比好像存在时节性的变革。相反,绝对较新的红利因子在描绘时节性方面体现得更好。

要害词:动量,微观经济危害,净资产报答率,时节性,一月效应

Macroeconomic risk and seasonality in momentum profits

Xiuqing Ji  (College of Business, Governors State University),J. Spencer Martin (Faculty of Business and Economics, University of Melbourne),Yaqiong Yao (Department of Accounting and Finance, Lancaster University Management School)

ABSTRACT

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure.We show that winners and losers only differ in macroeconomic factor loadings inJanuary, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.

Keywords: Momentum, Macroeconomicrisk, ROE, Seasonality, January effects



翻译:何杉

地方财经大学中国资产办理研讨中央
        地方财经大学中国资产办理研讨中央依托于地方财经大学金融学院建立,中央努力于针对中国资产办理市场理论的独立学术研讨,为中国资产市场开展提供基于学术研讨的政策发起,为中国资产办理机构提供征询效劳。“以学术效劳市场,以市场查验学术”,高兴打形成在中国资产办理市场中具有肯定影响力的智库。








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