| There is an implicit condition for the efficient market hypothesis: If there is any predictability of returns,people will imitate and use them,and this arbitrage will make market prices more effective.However,momentum strategies were introduced in the early 1990 s.It is widely propagated that it can still generate profits in nowadays.The momentum effect is to buy the stocks that performed the best(worst)in the past for a period of time,and short the stocks performed the worst(best)in the past for a period of time.To keep this investment strategy will perform well(poorly)over the next period of time.Momentum effects have been found in most developed markets(except Japan),but for China’s A-share Market,which is still in an emerging market,whether a momentum effect exists is still a controversial issue.In order to find out whether there is momentum effect in China’s A-share market,this paper tests the momentum effect of A-share at monthly,weekly and daily frequencies based on the representative JT momentum strategy.It is found that the momentum effect "disappears" in China’s A-share market under monthly frequency,and there is no regular impact of different market conditions on momentum effect and reversal effect.If JT momentum strategy fails under monthly frequency,is there any other strategy that can obtain monthly excess return? This paper uses three other momentum strategies: risk-managed momentum strategy,dynamic strategy,idiosyncratic momentum strategy.Compared with the previous JT momentum strategy,it is found that the idiosyncratic momentum strategy performs best,and the momentum return does not come from the standardized treatment of the yield in the formation period.Finally,this paper uses different factor models to explain the momentum excessreturn,and uses different factor models to build the residual rate of return.It is foundthat the idiosyncratic momentum yield constructed by all models is significantlygreater than zero.Then we regress the excess return to different factor models,and find that the traditional factor model can’t explain this return very well.In this paper,the idiosyncratic momentum factor is constructed by referring to the method of constructing momentum factor by Carhart(1997)and Li et al.(2017).After the redundancy factor is eliminated,the idiosyncratic momentum factor is added to form a new model(NEW5 model),which upgrade the model interpretation. |
