| The momentum investment strategy has attracted more and more researchers' interests as the focus in the stock market. The research of Wang Zhiqiang in 2006 has showed that we can get apparent momentum investment profit while we make use of momentum investment strategy into the stock such as big company, high price, and low turnover. At the same time, we get the robust statistic. Considering that the research only takes equal weight into account, while it ignored improve weight investment strategy to increase profit. Furthermore, the researches later suggested that we ignored the price impact cost in the trade, while just the lack of price impact cost may result in our magnifying of momentum profit. Based on the problem we discussed above ,we certainly come to the conclusion that it is necessary for us to adjust our investment strategy to observe whether we can get more profit through improved method; at the same time, it is also important to take the price impact cost into the process of calculating net return . Then we real result which can reflect the momentum profit .Our analysis indicates that : the liquidity—weighted investment portfolio can get more profit than equal-weighted investment portfolio, even after adjusted by price impact cost; but its profit fall behind in the market- value-weighted investment portfolio. This result reverses the research result in foreign mature stock market.The structure of this paper is as followings:The first part is the introduction, in this part we introduced the backgrounds of theory and the reality for choosing the topic, and then made a summary on foreign and domestic research about this area , and then , we focus on discussing the source of the research method and calculating process, at last ,we come to the research method in my paper.The second part is the introduction on the choosing of sample data and the research method. We take the trading data of Shanghai and Shenzhen stock market between July in 1991 and December in 2005 as our sample. These data come from CSMAR designed by Shenzhen Guo Tai An information& technology ltd. First, we choose the stocks which has such characters as big company, high price and low turnover from all the stocks to build up a new sample. We analysis the two sample at the same time. We rank the stock samples by their average month returns in the past J months from the high ones to low ones since July in 1991.The top 10% is assembled to a portfolio ,we give name to the portfolio as "the winner", while the last 10% will be assembled to a portfolio as "the loser". Because of the abnormal price impact on the losers, we only focus our research on the winner. Then we introduce the method of how we can build up a liquidity-weighted investment portfolio. In the weighted of portfolio ,we choose equal-weighted(EW), value-weighted(VW), liquidity-weighted (LW) and the combination of LW and VW as (VW+LW)/2 to calculate the return each. We make use of the (J,K) strategy to review the sixty period strategies' returns. In my paper ,J is assigned to review period while K is holding period.In the third part of this paper, we come to the result of demonstration analysis which include the result of the sample of big company, high price and low turnover. That is the four investment portfolio's returns in the sixty (J,K) period strategy. We can come to the conclusion from the results that the LW portfolio appears better than EW portfolio , while worse than the VW portfolio. That means the liquidity-weighted strategy can not get satisfied results compared to value-weighted in our country stock market.In the fourth part ,after analyze the results of demonstration analysis, we explain the reason of why the LW portfolio cannot get satisfied results in the Chinese stock market while it is demonstrated useful in the foreign mature stock market. |
PDF Full Text Request