뗚9뻭뗚6웚2006쓪12퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨JOURNALOFMANAGEMENTSCIENCESINCHINAꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ훐맺막쫐훐맟탔폫랴쿲춶닟싔뗄믱샻쒣쪽ꋙ짲뿉춦1,쇵믔2(11헣붭릤짌듳톧뺭볃톧풺,몼훝310035;21훐맺짧믡뿆톧풺뷰죚퇐뺿쯹,놱뺩100732)햪튪:쳖싛쇋훐맺막쫐훐횴탐맟탔닟싔믲랴쿲닟싔뗄믱샻쒣쪽벰웤폫쫐뎡ힴ뿶벰룶막쳘헷틲쯘뗄맘쾵.헻쳥뛸퇔,냫쓪웚쓚횴탐맟탔닟싔뷏캪돉릦,뛸냫쓪웚틔짏퓲랴쿲닟싔믱샻탔쿔훸.듋췢죴볓죫뾼싇웤쯻퓚탎돉웚뗄쫐뎡ힴ뿶벰룶막쳘헷틲쯘,펮볒-쫤볒닟싔퓲쫇룼캪쏷좷,쟒룼캪쿔훸뗄믱샻쒣쪽.맘볼듊:맟탔닟싔;랴쿲닟싔;뻹횵믘뢴훐춼럖샠뫅:F830191ꆡꆡꆡ컄쿗뇪쪶싫:Aꆡꆡꆡ컄헂뇠뫅:1007-9807(2006)06-0043-100ꆡ틽ꆡ퇔킧펦룟뗄막욱뇈맟탔킧펦뗍뗄막욱룼폐샻.뺡맜맟탔뫍랴쿲닟싔퓚쪵컱뷧뫜쇷탐,퓚톧뷼쓪살뗄뷰죚퇐뺿훐ퟮ쇮죋맘힢뗄쪵횤랢쿖쫵뷧튲놸쫜맘힢,떫닟싔믱샻탔늢캴틲듋뛸쿻쪧.횮튻쫇닺쫕틦싊뗄뿉닢탔.믹폚맽좥랢쿖벨킧Jegadeesh뫍Titman\[7\랢]쿖맟탔닟싔뗄믱샻탔,퓚릹붨뗄펮볒-쫤볒붻틗닟싔뻟폐쿔훸뗄믱샻탔20쫀볍90쓪듺뗄퇹놾쫽뻝훐틀좻듦퓚,쮵쏷풭,DeBondt뫍Th\[1,2\aler놨]룦쇋막욱볛룱뛔탅쾢맽쿈뗄뷡맻늢럇쫽뻝뿺닢(datasnooping)뗄뷡맻.쇭뛈랴펦쿖쿳췢Rouwenho\[8\]rst놨룦쇋퓚12룶얷훞맺볒훐튲듦,맽좥3ꆪ5쓪뇭쿖늻병뗄릫쮾퓚쯦뫳뗄쪱뛎쓚뿉틔믱뗃쿔훸룟폚욽뻹뗄쫕틦,벴틢캶퓚쿠쯆뗄쫕틦돖탸탔,쯆뫵틢캶ퟅ쫕틦뗄돖탸탔ퟅ횴탐랴쿲붻틗닟싔(contrarian)벨킧룼병쫇튻룶좫쟲웕뇩뗄쿖쿳.Jegadeesh뫍Titman쯹랢.뛸Je2gadeesh뫍Titman\[3\놨]룦쇋6ꆪ12룶퓂뗄훐웚쫕틦쿖뗄맟탔킧펦뻸럇쫽뻝췚뻲(datamining)뗄뷡맻.싊뇭쿖돶맟탔킧펦(momentum),벴랢쿖싲죫맽좥뷼쓪살,폐킩뷰죚톧헟헫뛔맽좥뗄막욱붻틗6룶퓂펮볒ꆢ춬쪱싴돶맽좥6룶퓂뗄쫤볒뗄닟싔솿ퟷ퇐뺿,쳡돶쇋붻틗솿냼몬쇋캴살쫕틦싊돖탸퓚쯦뫳6룶퓂뿉틔믱뗃뷼1%뗄퓂뛈쫕틦.믲랴뗄탅쾢,맊뾼싇붻틗솿뗄랴쿲닟싔믲헟쫇늻뷶톧쫵뷧맘힢ꆰ맟탔킧펦ꆱ폫ꆰ랴쿲킧펦ꆱ,맟탔닟싔뿉틔퓶볓웤믱샻돌뛈.탭뛠쪵컱뷧죋쪿틠붫맟탔믲랴쿲춶닟싔ퟷ캪웤CampbellꆢGrossman뫍Wang\[9\릹]붨쇋튻룶쒣톡막ힼ퓲.A\ffleck2Graves뫍Mendenh\[4all퓲]헫뛔닆탍살첽쳖막욱쫕틦싊폫붻틗솿뗄맘쾵,웤훷튪랢컱춶퓓횾막욱뗈벶움본ퟶ퇐뺿,랢쿖볛횵쿟뗄쿖뻍쫇막볛퓚붻틗룟뗄쟩뿶쿂,컞싛탎돉웚훐짏뗈벶움맀듳늿럝쫇룹뻝룃막욱뗄쿠뛔잿쫆,벴틔맟헇믲쫇쿂뗸,붫믡폐쏷쿔랴뗄쟣쿲,랴횮퓲늻탔닟싔살뛔막볛ퟶ풤닢.퓚릲춬믹뷰뗄퇐뺿랽쏦,믡.ConradꆢHameed뫍Niden\[10\]튲뗃떽쿠쯆뗄뷡GrinblattꆢT5\itman뫍Werm\[ers랢]쿖,벨킧뫃뗄믹뷰싛,횻늻맽붻틗솿룟뗍뗄틀뻝쫇붻틗솿뗄뇤뮯싊.쟣쿲폚릺싲잰튻벾볛횵짏짽뗄막욱,듦퓚맟탔춶Lee뫍Swaminathan\[11\]뛔볓죫뾼달붻틗솿뗄킧펦.Womack\[6\튲]랢쿖횤좯럖컶쪦춨뎣췆볶맟탔맟탔닟싔뗄믱샻탔뷸탐쇋첽쳖,붫ꆰ싲뷸붻틗솿뗍ꋙ쫕룥죕웚:2003-07-24;탞뚩죕웚:2006-05-12.믹뷰쿮쒿:헣붭쪡짧믡뿆톧믹뷰훺쿮쒿;헣붭릤짌듳톧틽뷸죋닅뿆퇐웴뚯믹뷰훺쿮쒿(X06-48).ퟷ헟볲뷩:짲뿉춦(1975ꆪ),쓐,헣붭듈쾪죋,늩쪿,붲쪦.Email:keshen@
ꆪ44ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪12퓂뗄펮볒,늢싴뿕붻틗솿룟뗄쫤볒ꆱ폫ꆰ싲뷸붻틗솿듓1995훁2002쓪,막욱볛룱ꆢ쫕틦싊살ퟔ폚룟뗄펮볒,늢싴뿕붻틗솿뗍뗄쫤볒ꆱ솽훖맟탔닟CCERꋚ훐맺횤좯쫐뎡볛룱폫쫕틦쫽뻝뿢,훜쫕틦싊싔,폫떥뒿뗄맟탔닟싔ퟷ튻뇈뷏,랢쿖잰헟잰컥쓪쇏틑뺭뛔럖뫬ꆢ엤막ꆢ퓶랢뗈ퟶ돶쇋뗷헻.믱샻탔ퟮ룟,뛸뫳헟잰컥쓪뗄믱샻탔ퟮ뗍,짵훁퓚놾퇐뺿뗄퇹놾릫쮾,쓋틀뻝쿂쇐뇪ힼ톡좡.뗚뛾쓪믡돶쿖뢺뗄믱샻,뛸떥뒿맟탔닟싔믱샻탔1)퓚퇐뺿웚볤쓚,막욱붻틗쇏벰닆컱쇏뻓훐,늢쟒컥쓪횮쓚뻟폐믱샻탔.쯹틔횸돶볛룱맟붡좫.탔킧펦뻹믡돖탸컥쓪,뛸퓚컥쓪뫳랴,웤훐룟붻2)퓚퇐뺿웚볤쓚쎻폐뺭맽STꆢPT쳘뇰뒦샭.틗솿뗄펮볒틔벰뗍붻틗솿뗄쫤볒믡뷏뿬랴,샻3)짏쫐틑듯냫쓪뗄막욱닅쓉죫뇪뗄막욱,틔폃맽좥막욱붻틗뗄쫽뻝뿉틔룼쟥돾뾴돶막볛맟탔뇜쏢돵짏쫐막욱막볛뫍돉붻솿뗄늨뚯뻧쇒,뛸펰킧뻍튪캪훐뛌웚랴펦늻ퟣ,뎤웚맽뛈랴펦.쿬퇐뺿뷡맻.훐맺쫐뎡헢랽쏦뗄쿠맘퇐뺿늢늻뛠,뇈뷏뗤4)닟싔탎돉웚훐폐컞붻틗훜헟늻뷸죫룃웚탍뗄쫇췵폀뫪ꆢ헔톧뻼\[12\틔]1993쓪틔잰짏쫐뗄닟싔퇹놾.막욱뗄퓂쫕틦싊캪퇹놾,닉폃럇훘뗾돩퇹랽램,랢ퟱ톭Fama뫍French\[15\]뒦샭랽쪽,평폚릫쮾쿖훐맺막쫐훐뛌웚맟탔쳘헷늢늻듦퓚,맟탔닟싔뗄닆컱쇏쎿쓪릫늼튻듎,듳늿럖퓚뗚뛾쓪뗄2쫕틦벸뫵뚼캪뢺쟒늻쿔훸.떫닉폃럇훘뗾퇹놾뿉퓂럝틔뫳,4퓂쒩잰릫늼.맊짨뚨,뛔1995ꆪ2002쓜듦퓚킡퇹놾욫닮.쿠랴,훜쇕뷜\[13\뗄]뷡싛쯆뫵쓪뗄쎿튻쓪살쮵,t쓪뗄5퓂훁t+1쓪뗄4퓂뗄룼캪뫏샭킩,닉폃Jegadeesh뫍Titman뗄훘뗾돩퇹쫕틦싊탲쇐폫t-1쓪뷡쫸뗄닆컱쓪뛈뗄닆컱쫽랽램,랢쿖훐맺쫐뎡훐(1룶퓂,1룶퓂)벰(6룶뻝뛔펦.캪쇋튻훂,짏쫐릫쮾뗄쯹폐닆컱쫽뻝춳튻퓂,6룶퓂)뗄맟탔닟싔뗄뎬뛮쫕틦쏷쿔뫃폚웤쯻퓚쎿쓪뗄4퓂쒩뗄ퟮ뫳튻룶붻틗죕뷡쫸쪱뗷헻튻웚쿞듮엤뗄닟싔.떫평폚뷡싛캴뾼싇뛔훘뗾퇹놾듎.헢퇹톡좡틲쯘뗄좡횵뿉틔좷놣퓚쫕틦싊탲쇐쯹듸살뗄ퟔ쿠맘탔(autocorrelation)벰틬랽닮(het2볆쯣잰닆컱쫽뻝쫇틑횪뗄.릫쮾뗄쇷춨쫐횵ꆢ쫐펯eroskedasticity)ퟶ튻훂탔뗷헻,쯹틔잿붡탔폐듽볬싊(P/E)ꆢ뺻횵쫐횵뇈(BE/ME)뷔좡떱죕쫕엌볛퇩.듋췢,랶쇺헱ꆢ췵몣쳎\[14\닉]폃릹퓬뚯첬ퟩ뫏랽폫뛔펦뗄닆컱쓪뛈쫽뻝볆쯣.톡좡쎿룶닟싔탎돉램,럖컶쇋ퟜ쫐횵ꆢ쇷춨쫐횵ꆢ볛룱ꆢ헋쏦쫐횵뇈ꆢ웚웰쪼죕뗄룷횸뇪ퟷ캪럖샠춶ퟩ뮮럖횸뇪.쫐펯싊ꆢ헋쏦닺뢺햮뇈뗈틲쯘뛔막욱믘놨싊뗄쇭췢,틔룶막튻훜뗄욽뻹죕뮻쫖싊ퟷ캪붻틗펰쿬.훁폚뾼달룷훖쳘헷틲쯘뛔맟탔닟싔뫍랴쿲솿쫽뻝.죕뮻쫖싊뚨틥캪죕돉붻막쫽햼쇷춨막놾닟싔쫕틦뗄펰쿬뗄싛컄맺쓚짐늻뛠볻.뇈샽.놾컄닉폃룃횸뇪뛸늻닉폃돉붻막쫽뫍돉붻놾컄닉폃뗄쫇훜쫕틦싊쫽뻝,틲뛸퇹놾뗄쫽뷰뛮,쫇틲캪듋솽룶횸뇪뷔폫릫쮾맦쒣룟뛈쿠맘.뻝솿듳듳뗃틔삩돤,늢돤럖뾼싇쇋붻틗돉놾뗄쫐뎡쒦닁틲쯘틔벰훘뗾퇹놾쯹떼훂뗄볆솿욫닮,쳡2ꆡ늻춬탎돉웚폫돖폐웚듮엤뗄맟탔릩쇋훐맺쫐뎡훐맟탔폫랴쿲닟싔믱샻탔뗄횤뻝,ퟮ훘튪뗄쫇뾼싇쫐뎡ힴ뿶폫룶막쳘헷틲쯘뫳,랢벰랴쿲닟싔뗄믱샻탔쿖닟싔듦퓚룼캪쏷좷뗄믱샻탔.ꆡ쪵횤퇐뺿랽램퓚ퟔt-p웚훁t-1웚,웚볤뎤뛈캪p웚뗄탎1ꆡ쫽뻝뒦샭폫쮵쏷돉웚(rankingperiod),룶막뗄샛믽쫕틦싊죧쪽(1)쯹쪾훐맺막쫐듓붨솢훁뷱늻맽쪮벸쓪,퓚1995쓪틔잰,짏쫐릫쮾쫽솿폐쿞,쇭췢,쫐뎡뗄킧싊ꆢ탅쾢R(it-p,t-1)=ꇇt-1(1+Ri)j-1(1)j=t-p뗄랴펳돌뛈뇈뷏닮,룶막좱랦룶탔,췹췹뇭쿖캪웫웤훐,Rij뇭쪾뗚i횻막욱퓚뗚j웚뗄쫕틦싊,R(it-헇웫뗸.듓헢솽랽쏦뾼싇,컒쏇톡뚨퇐뺿뗄쪱볤뛎p,t-1)캪뗚i횻막욱뗄탎돉웚횮샛믽쫕틦싊.ꋚCCER횤좯쫐뎡쫽뻝뿢쾵쇐쫇평놱뺩듳톧훐맺뺭볃퇐뺿훐탄뫍놱뺩즫억럒탅쾢럾컱릫쮾췆돶뗄.
뗚6웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짲뿉춦뗈:훐맺막쫐훐맟탔폫랴쿲춶닟싔뗄믱샻쒣쪽ꆪ45ꆪt웚틔탎돉웚룶막샛믽쫕틦싊R(it-p,t-1)R
c(t,t+q-1)=듓듳훁킡업탲,틔쪮럖캻럖ퟩ,늢틔뗈좨훘볓좨탎돉춶ퟩP1ꆫP10,웤훐P1듺뇭펮볒춶ퟩ,Pꆡꆡ1(R10듺뇭쫤qw(t,t+q-1)-볒춶ퟩ,웤훐P1뫍P10뗄ퟩ쓚막욱쫽,럖뇰틔Nw뫍R(lt,t+q-1))(3)Nl뇭쪾.맟탔닟싔뻍쫇싲뷸돖폐펮볒P1뛸싴뿕쫤볒쪽훐q캪돖폐웚뗄쪱볤뎤뛈,R
c(t,t+q-1)뇭P10,탎돉쇣춶ퟩ뫏(zeroinvestment),늢닉폃싲죫쪾벴쪱춶ퟩ뫏뗄욽뻹훜샻죳,뛸Nl뫍Nw럖뇰돖폐(buyandhold)뗄랽쪽.캪쫤볒뫍펮볒ퟩ뫏훐막욱룶쫽.웤훐쫤볒ퟩ뫏뫍펮볒ퟩ뫏퓚돖폐웚뗄샛믽쫕ퟮ뫳,놾컄붫틔쇹훖늻춬뗄탎돉웚p(1훜ꆢ2틦싊죧쪽(2a)뫍쪽(2b)쯹쪾훜ꆢ4훜ꆢ12훜ꆢ24훜ꆢ48훜),붻닦듮엤늻춬돖폐웚R(q(1훜ꆢ2훜ꆢ4훜ꆢ12훜ꆢ24훜ꆢ48훜),틔맛달룷맟lt,t+q-1)=Nt+ꆡꆡ1Nꇆl탔닟싔춶ퟩ뗄믱샻쟩뿶.닉폃쎿듎뷶틆뚯1훜뗄R)i,j+1))-1](2a훘뗾퇹놾랽램볆쯣맟탔닟싔믲랴쿲닟싔뗄샻죳.li=1[(ꇇq-1(j=tRw(t,t+q-1)=맊듋,풮폃Newey뫍W\[16\]est뗄랽쪽뗷헻틬랽닮폫Nqퟔ쿠맘탔튻훂뗄킭랽닮뻘헳(heteroskedasticity-1ꆡꆡ1(NRi,j+1))-1](2b)wꇆwt+(ꇇandautocorrelationconsistentcovariancematrix)살i=1[j=t쪽훐R맀볆닟싔뗄돖폐웚샛믽쫕틦뗄뇪ힼ닮,볆쯣t볬(lt,t+q-1)뫍Rw(t,t+q-1)럖뇰뇭쪾쫤볒뫍펮볒퓚돖폐웚t웚훁t+q퇩횵,틔에뛏믱샻뗄쿔훸탔.-1웚뗄샛믽믱샻,Ri,j뇭쪾뗚j웚뗄룶뇰ퟩ뫏훐뗚ꆡ쪵횤뷡맻럖컶i횻막욱쫕틦싊뇭1놨룦쇋쯹폐49룶펮볒-쫤볒ퟩ뫏뗄욽뻹.춳튻틔펮볒-쫤볒닟싔뗄릹돉살뚨틥훜쫕틦싊뗄뷡맻.49훖ퟩ뫏,죴볆훐,41훖횴탐맟탔닟쯣뗄웚췻샻죳쿔훸캪헽,퓲듦퓚맟탔킧펦,죴볆쯣싔짺돉헽쫕틦,8훖횴탐랴쿲닟싔짺돉헽쫕틦.ퟜ뗄웚췻샻죳쿔훸캪뢺뗄살쮵,냫쓪웚쓚횴탐맟탔닟싔뷏캪돉릦,뛸뎬맽,퓲듦퓚랴쿲킧펦.캪뇣폚뇈뷏,틔돖폐웚훜욽뻹웚췻샻죳(weeklyexpected냫쓪웚랴쿲닟싔믱샻탔쿔훸.p뻍뎬뛌웚닟싔춶ퟩ(탎돉웚4훜쓚)뛸퇔,탎rofits)뗄탎쪽살놨룦.맟탔닟싔욽뻹훜샻죳죧쪽(3)쯹쪾돉웚캪2훜폫4훜뗄닟싔뇭쿖뷏뫃,쫕틦쮮욽ퟮ듳뇭1ꆡ늻춬탎돉웚폫돖폐웚맟탔닟싔횮믱샻쟩탎Table1PerformanceofmomentumstrategiesunderdifferentformationandholdinghorizonsR(l%)탎돉웚/훜돖폐웚/훜()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()()ꆡꆡ힢:뇭훐뫚쳥뇪돶뗄뷔캪춳볆솿퓚10%쮮욽쿔훸.
ꆪ46ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪12퓂뗄(4,4)닟싔욽뻹훜쫕틦싊캪%.헢틢캶ퟅ탎돉웚캪1훜뗄닟싔쫕틦싊훐뿉쓜담퓓쇋맽뛠뗄3ꆡ뾼싇쫐뎡뫍룶막쳘헷틲쯘뫳뗄맟뛌웚퓫짹붻틗(noisetrading)탅뫅,2훜믲4훜뗄닟싔쫕틦싊쯹퓌몬뗄탅쾢룼캪뿉뾿탔벰랴쿲닟싔뗄믱샻탔.뻍훐뛌웚닟싔춶ퟩ뛸퇔(탎돉웚캪12ꆪ24훜),뎬뛌돖폐웚쓚ꆡ쪵횤퇐뺿랽램(1ꆪ2훜)뗄쫕틦쳘탔쫇늻좷뚨뗄,쿔훸탔뷔늻룟.헢틢캶ퟅ3룶퓂틔짏뗄탎돉뾼달틽죫탎돉웚쫐뎡ힴ뿶벰룶막쳘헷틲쯘폫웚쫕틦냼몬룼뛠캪뷏뎤웚쟷쫆탔탅쾢,뛔뛌웚쫕탎돉웚룶막쫕틦싊릲춬뻶뚨맟탔닟싔춶ퟩ.쫐뎡틦싊뗄뿉닢쓜솦늢늻잿.떫돖폐웚캪4ꆪ24훜뗄ힴ뿶틲쯘냼삨쫐뎡ퟩ뫏쫕틦싊ꋛꆢ룶막탎돉웚쫕닟싔믱샻탔쫇쏷쿔뗄틦싊뗄뷘쏦뇪ힼ닮;룶막쳘헷틲쯘냼삨룶막뗄붻,웤훐탎돉웚12훜폫24훜뗄닟싔뻹믱뗃쇋쿔훸뗄쫕틦,쟒탎돉웚24훜뗄닟싔틗솿ꆢ릫쮾맦쒣ꆢ뺻횵쫐횵뇈ꆢ쫐펯싊뗈.틔쿂쫇뛔춶ퟩ뗄믱샻탔뇈웤쯻탎돉웚뗄닟싔춶ퟩ룼잿.헢헢킩틲쯘뗄뚨틥.폫훜쇕뷜틔퓂쫕틦싊캪퇹놾뗄뷡맻믹놾튻훂.듋1)MKT(t-p,t-1)캪탎돉웚쫐뎡ퟩ뫏샛믽췢,튻룶폐틢쮼뗄쿖쿳쫇닟싔춶ퟩ뗄쫕틦듳뛠살쫕틦싊,벴ퟔ쫤볒춶ퟩ뗄뢺쫕틦(헢샯캴쇐돶뷡맻).훐맺막쫐뗄좷듦퓚뫜잿뗄ꆰ뒦훃킧펦ꆡMKT(t-p,t-1)=ꇇt-1(1+Rm)i-1(4)(dispositioni=t-peffect)ꆱ,벴춶헟쟣쿲폚퇓뫳싴뗴엢잮막욱뗄쾧웤훐Rmi뇭쪾뗚i웚뗄막욱쫐뎡쫕틦싊.쫛탄첬(쇵믔뗈[17]).2)ꛒ(t-p,t-1)캪탎돉웚뷘쏦룶막샛믽쫕탎돉웚24훜틔짏뗄닟싔퓲뇭쿖돶뷏쿔훸랴틦싊뗄퇹놾뇪ힼ닮,벴쿲믱샻탔,맽좥냫쓪틔짏뗄쫤볒퓚9룶퓂뫳뗄뇭ꆡꛒ(t-p,t-1)=쿖튻냣튪폅폚펮볒,폫췵폀뫪ꆢ헔톧뻼뗄뷡맻쿠쯆.ꇆN[R(jt-p,t-1)-R
(t-p,t-12)]쏀맺폫뗂맺막쫐퓚뎬뛌웚(튻퓂틔쓚)벰뎬j=1(N5)-1뎤웚(죽훁컥쓪)뗄랴쿲닟싔폐쿔훸뗄샻죳,훐뛌쪽훐:R(jt-p,t-1)뇭쪾탎돉웚뗚j횻막욱샛믽웚(죽룶퓂훁튻쓪)뗄맟탔닟싔폐쿔훸뗄샻죳;죕쫕틦싊;R
(t-p,t-1)뇭쪾탎돉웚쯹폐막욱뷘쏦놾막쫐퓲늻맜쪱볤뎤뛌,랴쿲닟싔뚼폐쿔훸뗄샻욽뻹쫕틦싊;N캪쯹폐막욱룶쫽.죳;늻맽훐맺막쫐퓲쫇듳쳥짏틔훐뛌웚(24훜틔쓚)뗄맟탔닟싔폐뷏쿔훸믱샻탔,뛸횴탐뷏뎤웚3)Vol(t-p,t-1)ꆢSize(t-p,t-1)ꆢBM(t-p,t-1)ꆢPE(t-p,t-1)럖뇰뇭쪾붻틗솿ꋜꆢ(36훜틔짏)랴쿲닟싔퓲뿉쓜믱뗃쿔훸뗄헽쫕틦.닮뇰쯹퓚,뿉쓜폫훐맺막쫐훐믺릹볒잿듳뗄탅릫쮾맦쒣ꆢ뺻횵쫐횵뇈벰쫐펯싊,틔헢킩틲쯘ퟷ캪쾢폫뷰폅쫆ꆢ즢뮧춶헟뇈싊룟ꆢ룟뮻쫖싊벰좱럖ퟩ틀뻝(럖캪죽ퟩ).랦싴뿕믺훆뗈쳘탔폐맘,틲믺릹볒폫즢뮧춶쫐뎡ힴ뿶벰룶막쳘헷틲쯘쫴탔늻춬,쯼쏇뗄헟횮볤뗄퇏훘탅쾢늻뛔돆뿉쓜믡쿞훆탅쾢횮엻럖ퟩ풭퓲튲폐쯹늻춬.슶틔탎돉웚쫐뎡ힴ뿶틲쯘캪럖ퟩ틀뻝쪱,탫짨,듓뛸퓬돉뛌웚쫕틦싊뗄돖탸탔뫍랴펦늻ퟣ뗄쿖쿳,볓횮즢뮧춶헟춶쾰탔쾲뫃ힷ헇즱뗸ꆢ쟀솢횴탐펮볒-쫤볒닟싔뗄쳵볾,럻뫏쳵볾쪱,횴뷸쟀돶,틔벰믺릹볒뗄뷨쫆삭첧뫍듲톹,틔훁폚탐닟싔.쳵볾죧쿂:뷏뎤웚쫕틦틗폚랴.1)틀뻝MKT(t-p,t-1)짨솢쏅볷,볬퇩퓚ꋛ틲훐맺쫐뎡짐컞춳튻뗄쫐뎡횸쫽,맊좡짏횤A막횸쫽폫짮?A막횸쫽뗄볓좨뫍ퟷ캪쫐뎡ퟩ뫏쫕틦싊,짏횤횸쫽좨쫽캪,짮?횸쫽좨쫽캪ꋜ탎돉웚붻틗솿횸뇪볆쯣릫쪽캪1-ꛋ,Vol(t-p,t-1)=ꛋlVolt-l-11-ꛋpꇆ-1,쪽훐짨뚨ꛋ=,Volt캪뗚t훜뗄죕욽뻹뮻쫖싊.헢퇹뒦샭쪹l=0뗃뻠쪱뗣뷏뷼뗄탅쾢폫뷏풶뗄탅쾢훘튪탔짏폐쯹쟸뇰.
뗚6웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짲뿉춦뗈:훐맺막쫐훐맟탔폫랴쿲춶닟싔뗄믱샻쒣쪽ꆪ47ꆪ쫐뎡ퟩ뫏쫕틦싊뇭쿖뷏병믲뷏닮쪱,횴탐맟탔닟뫏(lowloser).싔뗄믱샻탔;늽훨4ꆡ튻릲뾼싇쯄훖춶닟싔,벴붻틗솿2)틀뻝ꛒ(t-p,t-1)짨솢쏅볷,볬퇩퓚쫐뎡룟뗄펮볒-붻틗솿룟뗄쫤볒ꆢ붻틗솿룟뗄펮볒-짏룶막쫕틦싊뷘쏦뇪ힼ닮뷏듳믲뷏킡쪱,횴탐맟붻틗솿뗍뗄쫤볒ꆢ붻틗솿뗍뗄펮볒-붻틗솿룟뗄탔닟싔뗄믱샻탔.쫤볒ꆢ붻틗솿뗍뗄펮볒-붻틗솿뗍뗄쫤볒,늢맛볓죫탎돉웚룶막쳘헷틲쯘ퟷ캪펮볒-쫤볒달룷ퟩ맟탔닟싔뗄닮틬.닟싔럖ퟩ틀뻝쪱,틔붻틗솿캪샽(웤쯻샠쯆)쮵ꆡ쪵횤뷡맻럖컶쏷,럖ퟩ늽훨죧쿂.뾼달MKT(t-p,t-1)뗄맟탔닟싔뷡맻죧뇭늽훨1ꆡ틀헕룷막욱퓚탎돉웚뗄샛볆쫕틦싊럖2쯹쪾ꋝ,틔랧횸뇪횵캪헽ퟷ캪횴탐맟탔닟싔뗄틀캪10ퟩ,웤훐P1캪펮볒춶ퟩ,P10캪쫤볒춶ퟩ.뻝,맟탔닟싔믱샻뇭쿖늻병,뺡맜닟싔(2,2)ꆢ(4,늽훨2ꆡ틀헕룷막욱퓚탎돉웚뗄샛믽붻틗솿4)캪헽,떫뚼쿔훸뗍폚뇭1뫍틔랧횸뇪횵캪뢺횴럖캪3ퟩ,웤훐V1캪붻틗솿룟뗄춶ퟩ,V3캪붻틗탐뛔펦닟싔뗄믱샻쮮욽.뛸뎬뛌웚닟싔(1,1)폫솿뗍뗄춶ퟩ.훐뎤웚닟싔(36,36)ꆢ(48,48)뷔쿔훸캪뢺,랴쿲킧늽훨3ꆡ춬쪱캪P1폫V1헟돉캪붻틗솿룟뗄맻룼캪쿔훸.쿠랴,죧맻랧횸뇪횵캪뢺쪱,횴탐맟펮볒ퟩ뫏(highwinner);탔닟싔,훐뛌웚(1ꆪ12훜)튻훂쿔훸뗘쳡룟쇋맟춬쪱캪P1폫V3헟돉캪붻틗솿뗍뗄펮볒ퟩ뫏탔닟싔뗄믱샻,뛸훐뎤웚닟싔랴쿲킧맻뚼늻첫쏷(lowwinner);쿔.헢튻뗣폫Chordia뫍Shivakumar뗄쮵램쿠쯆,춬쪱캪P10폫V1헟돉캪붻틗솿룟뗄쫤볒ퟩ룃컄틔쏀맺막욱쫐뎡뇭쿖쾸럖캪쫽룶삩헅웚뫍뷴뫏(highloser);쯵웚,틔듖싔뗄춳볆쫽뻝,랢쿖맟탔닟싔퓚뷴쯵웚춬쪱캪P10폫V3헟돉캪붻틗솿뗍뗄쫤볒ퟩ믱샻탔뷏병.뇭2ꆡ틔MKT(t-p,t-1)ퟷ캪쳵볾횴탐맟탔닟싔믱샻쒣쪽Table2PerformanceofmomentumstrategiesconsideringfactorMKT(t-p,t-1)Rm(%)쫐뎡ힴ뿶돖폐웚/훜(t-p,t-1)>0()()()()()()()(t-p,t-1)<0()()()()()()()ꆡꆡ힢:좡탎돉웚폫돖폐웚쿠뗈닟싔뾼달,뫚쳥뇪돶뗄뷔캪춳볆솿퓚10%쮮욽쿔훸.ꆡꆡ뾼달ꛒ(t-p,t-1)뗄닟싔,럖뇰틔탎돉웚웚쫕틦뗄뷘쏦닮틬탔횸뇪쯹뢽몬뗄뛔뛌웚탅쾢샠룶막쫕틦싊뗄뷘쏦랽닮ퟮ듳폫ퟮ킡뗄30%퇹놾탍쒣쪽뗄에뛏붫쒣뫽,룶막탎돉웚쫕틦뗄뷘쏦랽뗣,ퟷ캪횴탐맟탔닟싔폫럱뗄랧횸뇪횵,뷡맻죧뇭닮뛔닟싔믱샻탔펰쿬늻쏷좷.3쯹쪾,폚랧횸뇪횵ퟮ듳뗄30%퇹놾뗣,횴탐뷏뛌춬쪱뾼달탎돉웚룶막쳘헷틲쯘폫쫕틦싊,뷸웚쓚(1ꆪ12훜)뗄맟탔닟싔,믱샻탔퓶잿쿔훸,폈탐닟싔럖ퟩ,뇭4캪탎돉웚폫돖폐웚쿠뗈뗄닟싔틔닟싔(1,1)ꆢ(2,2)ꆢ(4,4)쏷쿔,뛸폚랧횸뇪횵ퟮ춶ퟩ뫏뗄믱샻쟩뿶.훁폚웤쯻탎돉웚폫돖폐웚킡뗄30%퇹놾뗣,횴탐뷏뛌웚뗄맟탔닟싔웤믱샻듮엤뗄닟싔,캪뷚쪡욪럹,듋뒦늻쇐돶뷡맻,떫퓚탔뚼쿔훸뗘복킡,떫쯦ퟅ탎돉웚뗄삭뎤,룶막탎돉럖컶훐ퟛ뫏뷸살.ꋝ틲욪럹쯹쿞,캴쇐돶좫늿뷡맻,뷶쇐돶탎돉웚폫돖폐웚쿠뗈뗄닟싔믱샻뷡맻,떫럖컶훐튻늢ퟛ뫏뷸살.
ꆪ48ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪12퓂뇭3ꆡ틔ꛒ(t-p,t-1)ퟷ캪쳵볾횴탐맟탔닟싔믱샻쒣쪽Table3Performanceofmomentumstrategiesconsideringfactorꛒ(t-p,t-1)R(%)뷘쏦뇪ힼ닮돖폐웚/훜12412243648ꛒ(t-p,t-1)ퟮ듳뗄30%()()()()()()()ꛒ(t-p,t-1)ퟮ킡뗄30%()()()()()()()ꆡꆡ힢:좡탎돉웚폫돖폐웚쿠뗈닟싔뾼달,뫚쳥뇪돶뗄뷔캪춳볆솿퓚10%쮮욽쿔훸.뇭4ꆡ볓죫룶막ힴ첬틲ퟓ뾼달맟탔닟싔횮벴웚춶ퟩ믱샻쒣쪽Table4PerformanceofmomentumstrategiesconsideringcharacteristicofindividualstockA:볓죫붻틗솿횴탐맟탔닟싔뗄믱샻탔(%)닟싔돖폐웚/훜12412243648붻틗솿룟뗄펮볒-붻틗솿룟뗄쫤볒()()()()()()()붻틗솿룟뗄펮볒-붻틗솿뗍뗄쫤볒()()()()()()()붻틗솿뗍뗄펮볒-붻틗솿룟뗄쫤볒()()()()()()()붻틗솿뗍뗄펮볒-붻틗솿뗍뗄쫤볒()()()()()()()B:볓죫릫쮾맦쒣횴탐맟탔닟싔뗄믱샻탔(%)닟싔돖폐웚/훜12412243648듳맦쒣뗄펮볒-듳맦쒣뗄쫤볒-01068-01138()()()()()()()듳맦쒣뗄펮볒-킡맦쒣뗄쫤볒()()()()()()()킡맦쒣뗄펮볒-듳맦쒣뗄쫤볒()()()()()()()킡맦쒣뗄펮볒-킡맦쒣뗄쫤볒()()()()()()()C:볓죫쫐펯싊횴탐맟탔닟싔뗄믱샻탔(%)닟싔돖폐웚/훜12412243648뗍뗄펮볒-뗍PE뗄쫤볒()()()()()()()뗍뗄펮볒-룟PE뗄쫤볒()()()()()()()룟-01072PE뗄펮볒-룟PE뗄쫤볒()()()()()()()룟-01136-01177PE뗄펮볒-뗍PE뗄쫤볒()()()()()()()
뗚6웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짲뿉춦뗈:훐맺막쫐훐맟탔폫랴쿲춶닟싔뗄믱샻쒣쪽ꆪ49ꆪ탸뇭4D:볓죫뺻횵쫐횵뇈횴탐맟탔닟싔뗄믱샻탔(%)닟싔돖폐웚/훜12412243648뗍
ꆪ50ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪12퓂퇔,틔ꆰ뗍BE/ME뗄펮볒-뗍BE/ME뗄쫤볒ꆱ뗄닟럅듳뗄룶막쫕틦싊뗄랴탔뇭쿖튪뷏잿튻킩.죧싔폫ꆰ룟BE/ME뗄펮볒-뗍BE/ME뗄쫤볒ꆱ뗄닟맻뾼달릫쮾맦쒣,컒쏇랢쿖죧맻웤훐싲뷸릫쮾맦싔킧맻뷏병.뻍헻쳥뛸퇔,틔ꆰ뗍BE/ME뗄펮볒-쒣킡뗄펮볒,뿉틔좷놣웤믱샻,쿠랴,죧맻맟탔닟뗍BE/ME뗄쫤볒ꆱ뗄닟싔믱샻뷏병,뛸ꆰ룟BE/ME싔춷듧훐,싴뿕릫쮾맦쒣킡뗄펮볒,붫믡쟖쪴웤믱뗄펮볒-룟BE/ME뗄쫤볒ꆱ뗄닟싔랴쿲킧맻룼캪샻.죧맻뾼달룷릫쮾뗄쫐펯싊벰뺻횵쫐횵뇈,랢쿖쿔훸.죴춶닟싔훐싴돶뗍BE/ME뗄쫤볒,퓲뿉틔퓚룟쫐펯싊릫쮾벰뗍뺻횵쫐횵뇈릫쮾훐,횴탐맟좷놣맟탔닟싔쿔훸믱샻(1ꆪ24훜).뛸쿠랴싴돶뗄탔닟싔,붫믡폐뷏캪쿔훸뗄믱샻.룟BE/ME뗄쫤볒,믡쿔훸쟖쪴맟탔닟싔뗄믱샻,짵ퟜ삨뛸퇔,퓚훐맺횤좯쫐뎡훐,늻뷶쫇떥뒿뗄훁퓚ꆰ룟BE/ME뗄펮볒-룟BE/ME뗄쫤볒ꆱ닟싔펮볒-쫤볒닟싔듦퓚폐믱샻탔쒣쪽,죴볓죫뾼달훐,뗚2훜믱샻벴돶쿖뢺횵,틢캶ퟅ룟뺻횵쫐횵뇈탎돉웚뗄쫐뎡폫룶막쳘헷틲쯘,펮볒-쫤볒닟싔뗄쫤볒폫펮볒뷏틗랴,뛸뗍BE/ME쫤볒폫펮볒붫믡폐룼캪쏷좷,쟒룼캪쿔훸뗄믱샻쒣쪽.볛룱믡돖탸맟탔틆뚯.퓚룟BE/ME릫쮾훐횴탐랴쏀맺폫뗂맺막쫐퓚뛌웚(튻룶퓂틔쓚)벰뎤웚쿲닟싔뗄믱샻탔믡뷏병,뛸퓚뗍BE/ME릫쮾훐뷸(죽쓪훁컥쓪)뗄랴쿲닟싔폐쿔훸횮샻죳,훐웚(죽탐맟탔닟싔뗄믱샻탔쿠뛔뷏뫃.룶퓂훁튻쓪)뗄맟탔닟싔폐쿔훸뗄샻죳;죕놾막쫐퓲늻맜쪱볤뎤뛌,랴쿲닟싔뷔폐쿔훸뗄샻죳;뛸훐4ꆡ뷡싛폫붨틩맺막쫐퓲냫쓪웚쓚횴탐맟탔닟싔뷏캪돉릦,뎬맽냫쓪웚랴쿲닟싔믱샻탔쿔훸.닮틬뿉쓜폫훐맺막퓚훐맺횤좯쫐뎡훐,ퟜ뗄살쮵,냫쓪웚쓚횴탐쫐훐믺릹볒잿듳뗄탅쾢폫뷰폅쫆ꆢ즢뮧춶맟탔닟싔뷏캪돉릦,뛸뎬맽냫쓪웚랴쿲닟싔믱샻헟뇈싊룟ꆢ룟뮻쫖싊벰좱랦싴뿕믺훆뗈쳘탔폐맘.탔쿔훸뺡맜룷맺쟩뿶늻튻,떫닮뇰훷튪벯훐퓚랴펦훜웚.뾼달쫐뎡쫕틦싊뗄펮볒-쫤볒닟싔훐랢쿖뗄뎤뛌짏,헽죧탐캪뷰죚샭싛쯹횸돶뗄,춶헟쳸,떱쫐뎡쫕틦싊뷏룟쪱,횴탐맟탔닟싔뗄킧맻늻병늻돶쿈쫇랴펦늻ퟣ,뫳쫇맽뛈랴펦뗄탄샭톭뮷.훐;뛸떱쫐뎡쫕틦싊뷏뗍쪱,맟탔닟싔뗄믱샻탔쿔훸맺막쫐쯘살폐ꆰ럧룱믲탐튵싖ꆱ횮쳘뗣,1999쓪쳡룟ꆪ2000쓪ힿ풽뇭쿖뗄돉뎤탍막욱,훁2001쓪틔살,벴펮볒-쫤볒닟싔뗄믱샻탔폫쫐뎡뺰웸돉랴쿲맘쾵.퓚뾼달룶막쫕틦뗄뷘쏦랽닮뗄쳵볾쿂퓢쫜훘뒴,뛸뎤웚놻쫐뎡샤떭뗄볛횵탍삶돯막좴,뻍뛌웚닟싔뛸퇔,쫐뎡룶막쫕틦럖뮯쪱횴탐맟탔퓚2002쓪뗗놬랢쪽뗘돖탸헇짽.돉뎤막헇맽춷뛸닟싔뗄믱샻킧맻,쏷쿔튪잿폚쫐뎡춬헇춬뗸쪱횴볛횵막뗸맽춷,듋쪱막쫐훜웚뇣살떽믘맩욽뻹탐닟싔뗄킧맻.뛸뷏뎤웚뛸퇔(24훜횮뫳),쎻폐(meanreversion)뷗뛎,춶헟뛔돉뎤믃뻵뗄웆쏰,헒떽룶막쫕틦뷘쏦닮틬뛔닟싔믱샻쒣쪽펰쿬뗄쏷뛸ힷ쟳폐컈뚨돉뎤ꆢ막쾢ꆢ뗍럧쿕뗄볛횵탍막좷쒣쪽욱.막쫐뗄톭뮷쿖쿳,쫂잰늻틗맀쯣뫎쪱헛,떫.떱춬쪱뾼달룶막쳘헷틲쯘쪱,튲랢쿖쇋튻킩튻떩헛,춶헟탫뿬쯙랴펦,뎤웚돖폐쳘뚨튻훖폐볛횵뗄뷡맻샠뇰막욱(늢늻쓜놣횤쓜듲냜웤쯻막욱).헆컕막.뾼달룶막뗄붻틗솿랢쿖,맟탔닟싔뗄춷듧훐쫐ꆰ쮳쫆뛸캪ꆱ뗄뛌쿟맟탔쳘탔폫뎤웚ꆰ컯벫뇘랴ꆱ,죴싲뷸붻틗솿뗍뗄쫤볒,뿉틔좷놣맟탔닟싔믱샻뗄믘맩욽뻹쳘탔,춶헟닅늻훂놻쫐뎡쾷얪.,쟒뿉틔쳡룟믱샻뗄쿔훸탔;뛸죴싲뷸붻틗솿뗍뗄펮볒춶ퟩ,믡쟖쪴맟탔닟싔뗄믱샻벰웤쿔훸탔.쇭5ꆡ뫳탸퇐뺿랽쿲췢,뻍뷏돉쫬쫐뎡훐쫕틦싊폫붻틗솿맘쾵뛸퇔,훐맺쫐뎡뇭쿖돶룼캪뢴퓓뗄쒣쪽,붻틗솿럅듳짏짽뻍춶닟싔뗄믱샻쒣쪽뛸퇔,쫇럱뿉틔헒떽뗄룶막쫕틦싊돖탸탔틠뫜잿,뛸쿂뗸뷗뛎붻틗솿뇈맽좥탎돉웚쫕틦룼뻟킧싊뗄횸뇪살탎돉춶닟
뗚6웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ짲뿉춦뗈:훐맺막쫐훐맟탔폫랴쿲춶닟싔뗄믱샻쒣쪽ꆪ51ꆪ싔,헢퇹닟싔춶ퟩ뗄캴살쫕틦폐룼캪쏷좷뗄뿉닢퇘듋랽쿲틠뿉틔볌탸퇐뺿뾼싇룷훖틲ퟓ뗄뢴퓓ퟩ쒣쪽,샽죧뻠탎돉웚ퟮ룟볛믲ퟮ뗍볛뗄볛닮뗈.쇭뫏뫳뗄룼뻟킧싊뗄닟싔믱샻쒣쪽.헢킩뷔쫇벫뻟췢,컄훐뾼달쇋뾼싇룷훖ힴ첬틲ퟓ뫳뗄춶닟싔,쪵컱볛횵횮컊쳢.닎뾼컄쿗:\[1\D]eBondtW,
ꆪ52ꆪ맜ꆡ샭ꆡ뿆ꆡ톧ꆡ톧ꆡ놨ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪12퓂InvestmentperformanceofmomentumstrategiesandcontrarianstrategiesinChinastockmarketSHENKe21ting,,ZhejiangGongshangUniversity,Hangzhou310035,China;&Banking,ChineseAcademyofSocialScience(CASS),Beijing100732,ChinaAbstract:Thispapermainlyinvestigateswhetherthemomentumstrategiesandcontrarianstrategiescancreatesig2nificantprofitsunderdifferentformationhorizonsandholdinghorizons,whetherpastfactors(suchasmarketreturn,characteristicofindividualstock),wefindthemomentumstrategieslessthan24weeksaremoresuccessful,,consideringmarketfac2tor(marketreturn,cross2sectionalvarianceofequityreturns)andcharacteristicofindividualstock(tradingvol2ume,firmsize,price/earnings,BE/ME),:momentum;contrarian;meanreversion(짏뷓뗚42튳)Comprehensiveimportancemeasurementfornodeswithinanode2weightednet2workAN1Shi2hu,NIEP1ei2yao,,ShandongFinanceInstitute,Jinan250014,China;,TianjinUniversity,Tianjin300072,ChinaAbstract:,thecomprehensiveimportancemeasure(CIM),,:node2weightednetwork;comprehensivemeasurement;deletingnode;knowledgesharingnetwork
