頁籤選單縮合
| 題 名 | The Zodiac Calendar and Equity Factor Returns=十二生肖年和股市回報率 |
|---|---|
| 作 者 | Phoeng, Janice; Swinkels, Laurens; | 書刊名 | 中國會計與財務研究 |
| 卷 期 | 18:3 2016.09[民105.09] |
| 頁 次 | 頁114-130 |
| 分類號 | 563.54 |
| 關鍵詞 | 因子投資; 股市投資回報; 十二生肖年; Factor investing; Stock market returns; Zodiac calendar; |
| 語 文 | 英文(English) |
| DOI | 10.7603/s40570-016-0009-2 |
| 中文摘要 | 本文基于四因子模型(市场、规模、价值和动量因素)得出国际股市在 1927 至 2015 每个农历生肖年间的投资回报率。我们研究发现各生肖年平均收益率的点估计有 很大的不同。然而,统计检验的结果表明,我们无法拒绝十二生肖年各年超额收益相 等的零假设。对于同样用四因子模型以等权重做投资组合的投资者来说,鸡年的股市 收益率似乎特别好,而牛年的收益率特别差。即使在这种情境下,十二生肖年各年超 额收益相等的零假设仍然不能被拒绝。因此,我们的结论是,基于十二生肖年的投资 策略是不可能产生巨额回报的。 |
| 英文摘要 | We calculate the returns for four well-known equity return factors—market, size, value, and momentum—for each zodiac calendar year from 1927 to 2015. We find that the point estimates of average returns for each zodiac sign can be substantially different. However, when we employ statistical tests, we do not find enough evidence to reject the null hypothesis of equal excess returns across zodiac signs. For an investor with an equally weighted portfolio in these four equity factors, the Year of the Rooster may seem particularly good and the Year of the Ox particularly poor, but also in this case the null hypothesis cannot be rejected. Hence, we conclude that investment strategies based on zodiac signs are unlikely to generate superior returns. |
本系統中英文摘要資訊取自各篇刊載內容。