Research on Portfolio Disposal Effect Based on Reversal Strategy

DOI

10.2991/assehr.k.220401.059How to use a DOI?

Keywords

Reversal Effect; Disposal Effect; Factor model

Abstract

By analyzing the data of China’s stock return from 2001 to 2021, this paper uses the five factor model to study the impact of disposal effect on the excess return of portfolio based on reversal strategy, so as to judge whether the disposal effect is one of the driving factors of reversal effect in China’s stock market, and constructs the disposal factor based on the five factor model. Compared with the stock markets of developed countries, the momentum effect in China’s stock market is weak and the reversal effect is strong. This paper finds that there is a significant reversal effect in China’s stock market in the past two decades. Due to the majority of retail investors in China’s stock market, the disposal effect of investors is very common, and it can affect the excess return of portfolio under the reversal strategy.

Copyright

© 2022 The Authors. Published by Atlantis Press SARL.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Xijin Zhou
PY  - 2022
DA  - 2022/04/08
TI  - Research on Portfolio Disposal Effect Based on Reversal Strategy
BT  - Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022)
PB  - Atlantis Press
SP  - 293
EP  - 296
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.220401.059
DO  - 10.2991/assehr.k.220401.059
ID  - Zhou2022
ER  -