文档介绍：Pro…tability of Momentum Strategies in
China’sStock Market
Max CHEN
Peking University
Draft: 20030320
This version: 20041021
Chen is an assistant professor from Graduate School of Business, Peking University,
Shenzhen, (Shenzhen Graduate School, PKU SZ). Tel: 86+755-2603 5316, Fax: 86+755-
2603 5315, and Email: ******@. Chen thanks Yongmiao Hong,
who interest him in trading strategies.
Pro…tability of Momentum Strategies in
China’sStock Market
Abstract: China’s Stock Market is the most important emerging market awaiting
for investigation by both academics and industrials. We study the pro…tability of long
position in winner-based threshold momentum strategies after accounting for the trans-
action cost. We …nd substantial pro…ts (double to octuple the money every year) in daily
threshold trading strategies when trading cost is not accounted. However, at very low
level of trading cost, say %, all pro…ts disappear. We employ a model that rebalance
the portfolio carefully to save the transaction cost, but the trading rules still fail to pro…t
at a reasonable level of trading cost. Thus, the momentum pro…ts may not compete with
the trading cost.
Keywords: Momentum, Trading Strategy, Transaction Cost, China’sStock Market
JEL: C63, D23, G14
There is an increasing volume of empirical work on the pro…tability of trading strate-
gies in stock markets. Lo and MacKinlay (1990) …nd that the returns of large capitaliza-
tion stocks almost always lead those of smaller stocks. Thus, the contrarian investment
strategy is still a convenient tool for exploring the autocorrelation properties of stock
returns. Cooper (1999) use …lter rules on lagged return and lagged volume information to
uncover weekly overreaction pro…ts on large-capitalization NYSE and A