中国股票市场个股动量的分解与实证

journal6 ›› 2005, Vol. 26 ›› Issue (1): 101-103.

中国股票市场个股动量的分解与实证

(南开大学深圳金融工程学院，广东深圳 518031)

出版日期:2005-01-15 发布日期:2012-09-22
作者简介:邓自飞(1979-)，女，湖南省浏阳市人，南开大学深圳金融工程学院硕士生，主要从事金融工程学研究.

Decomposition and Empirical Study of the Profit of Individual Stock Momentum

(Financial Engineering College,Nankai University,Shenzhen 518031,Guangdong China)

Online:2005-01-15 Published:2012-09-22

摘要/Abstract

摘要：为研究我国股票市场个股动量收益的主要来源问题，笔者对Jegadeesh and Titman（1993）和Moskowitz and Grinblatt（1999）提出的股票收益生成模型进行改进，提出了我国股票市场个股动量收益分解方法.实证发现，个股动量收益主要来自于行业动量收益.

关键词： 收益分解, 个股动量, 行业动量

Abstract: To study the problem where the profit of individual stock momentum mainly comes from in our stock market,the author modifies the models of producing the stock profit presented by Jegadeesh and Titman(1993)and Moskowitz and Grinblatt(1999),and then provides a profit decomposing method of the individual stock momentum of the stock market in China.The empirical study indicates that the profit of individual momentum mainly comes from the industry momentum.

Key words: profit decomposing, individual momentum, industry momentum

邓自飞. 中国股票市场个股动量的分解与实证[J]. journal6, 2005, 26(1): 101-103.

DENG Zi-Fei. Decomposition and Empirical Study of the Profit of Individual Stock Momentum[J]. journal6, 2005, 26(1): 101-103.