Research On Stock Momentum Effect Based On "style" Perspective

Momentum effect or reversal effect is the two forms of stock price change.Momentum effect(or inertia effect)refers to the continuity of the stock income,that is,over the past period of time,the performance of good stock in the next period of time will still get better returns.On the contrary,if getting a low rate of return of the stock in the past but a higher rate of return in the future it is called the reverse effect.Momentum effect or reversal effect is through the analysis of historical stock price information to obtain excess earnings financial vision.As early as Jegadeesh and others found the momentum effect and it shocked academics,investors had recognized the inertial effects and used them in investment practice.The use of technical analysis(price along the trend of movement)in fact also recognized the stock price momentum effect.Not only that,in practice,investors also favored the choice of such as small market value,growth type,high change hands with a certain characteristics of the stock.Obviously,in the intuitive sense of investment practitioners,not only the momentum effect,there might be "style" level of momentum effect(Referred to as stylemomentum).In this paper,we will start from the study of the stylemomentum effect,and use the volume and market value of the two indicators of the combination of structural complex style combination,and from the beginning of January 2011 to the end of May 2016,inspect performance the combination of the momentum level of momentum and reversal effect.The empirical study found that,in general,the momentum effect exists in the formation of 3-4 weeks,holding period of 3-2 weeks of the strategy,but the overall distribution is not obvious.The majority of the strategies in the bull market have not only positive excess returns but also significant statistics,but most of the strategies in the weak market are basically negative and the momentum effect is not significant.For the momentum or reversal effect,the traditional scholars set from the multi-factor risk compensation model,consider that the excess portfolio ofmomentum may be derived from the risk,and the excess return is the risk of compensation,but the risk compensation model cannot be good on the momentum The source of the effect is explained.Behavioral finance argues that the momentum effect is generated by the heterogeneity of the investor that leads to insufficient or overreaction.This paper is based on the behavioral finance BSV model,DHS model,HS model,the third chapter of the momentum effect of the results of the interpretation.