An Analysis of Investment Strategies and Excess Returns in the China (Shanghai) Stock Market

Asian Economic and Financial Review

关键词: China stock market;    Excess returns;    Investment strategy;    Liquidity strategy;    Momentum strategy;    Size strategy;    Value strategy;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

The purpose of this paper is to understand the linkages between excess returns and four investment strategies - value, momentum, size, and liquidity - for the China stock market during the period 2003-2015, by applying the methodology proposed by Jegadeesh and Titman (2001) and Hart et al. (2003) and using data obtained from the Shanghai stock exchange (SSE) and Taiwan Economic Journal (TEJ). The empirical results suggest that a value strategy such as book to market value (B/M) ratio, as well as momentum, liquidity, and size strategies can all help investors make better judgments, in contrast to a strategy based on the price-earnings (P/E) ratio that does not help when investing in the China stock market. Moreover, we recommend that investors who want to make a significant profit in the China stock market should refer to momentum strategies and buy winner stocks and sell loser stocks.

【 授权许可】

CC BY