时间更新带来了更好的组合?——基于新旧排序的资产定价分析

资产定价异象的研究一直是金融领域的热门话题，自盈价比(E/P ratio) 异象被挖掘出来，其后各种异象如雨后春笋般涌现。对于异象的研究，现 有研究主要使用最新的公司特征来排序构造特征排序组合(新组合)，而 鲜少使用旧的公司特征数据构造特征排序组合(旧组合)。因此，本文尝 试构造基于特征的新旧组合，来研究新旧组合之间的相对表现及旧组合是 否还有价值。通过探究新旧组合之间的差异，可以更好地展现特征的时变 差异，同时对组合策略提供新的视角。

本文基于 61 个特征构造相应的特征组合，同时根据不同的时间窗口区 分了新组合和旧组合。通过对每个特征新旧组合的全样本回归和滚动窗口 回归，本文发现对于近半数的特征，其新旧组合之间存在显著的 alpha，因 此将旧组合加入新组合中可以提高整体的夏普比率。同时，基于主成分分 析法分别提取新旧特征组合中的主成分，对新旧组合的主成分在各个资产 定价模型中进行 GRS 检验和 t 检验，同样发现新旧组合之间的差异难以被 资产定价模型所解释。

总体而言，旧组合虽然是基于过去的信息进行构建，但其中仍然包括 了新组合中难以解释的部分，通过构造相关的新旧组合策略，可以验证出 部分特征中存在着特征持续性与收益率持续性的不匹配。因此，旧组合的 投资价值仍尚待挖掘，我们在构建特征组合时不仅要关注新特征，也可以 考虑旧特征，这对构建投资组合、调仓时机的选择及改进资产定价模型具 有一定的启示。

[1] BASU S. Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis[J]. Journal of Finance, 1977, 32(3): 663-82.
[2] BANZ R W. The relationship between return and market value of common stocks[J]. Journal of Financial Economics, 1981, 9(1): 3-18.
[3] 罗林.中国股票市场风险模型[J].金融研究,2003(04):32-43.
[4] 王永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证分析[J].经济研究,2001(06):56-61+89.
[5] LI Z, LIU L X, LIU X, et al. Replicating and digesting anomalies in the Chinese A-share market[J]. Management Science, forthcoming.
[6] HOU K, XUE C, ZHANG L. Replicating anomalies[J]. Review of Financial Studies, 2020, 33(5): 2019-133.
[7] HARVEY C R. Time-varying conditional covariances in tests of asset pricing models[J]. Journal of Financial Economics, 1989, 24(2): 289-317.
[8] GUO H, WU C, YU Y. Time-varying beta and the value premium[J]. Journal of Financial and Quantitative Analysis, 2017, 52(4): 1551-1576.
[9] FAMA E F, FRENCH K R. Multifactor explanations of asset pricing anomalies[J]. Journal of Finance, 1996, 51(1): 55-84.
[10] 王茵田,朱英姿.中国股票市场风险溢价研究[J].金融研究,2011(07):152-166.
[11] 姜富伟,薛浩,周明.大数据提升了多因子模型定价能力吗?——基于机器学习方法对我国A股市场的探究[J].系统工程理论与实践,2022,42(08):2037-2048.
[12] FAMA E F. Efficient capital markets: A review of theory and empirical work[J]. Journal of Finance, 1970, 25(2): 383-417.
[13] 权小锋,洪涛,吴世农.选择性关注、鸵鸟效应与市场异象[J].金融研究,2012(03):109-123.
[14] 向诚,陆静.投资者有限关注、行业信息扩散与股票定价研究[J].系统工程理论与实践,2018,38(04):817-835.
[15] 史永东,程航.投资者情绪和资产定价异象[J].系统工程理论与实践,2019,39(08):1907-1916.
[16] 古志辉,郝项超,张永杰.卖空约束、投资者行为和A股市场的定价泡沫[J].金融研究,2011(02):129-148.
[17] 张峥,徐信忠.行为金融学研究综述[J].管理世界,2006(09):155-167.DOI:10.19744/j.cnki.11-1235/f.2006.09.027.
[18] SHLEIFER A, VISHNY R W. The limits of arbitrage[J]. Journal of Finance, 1997, 52(1): 35-55.
[19] HARVEY C R, LIU Y, ZHU H. ... and the cross-section of expected returns[J]. Review of Financial Studies, 2016, 29(1): 5-68.
[20] FREYBERGER J, NEUHIERL A, WEBER M. Dissecting characteristics nonparametrically[J]. Review of Financial Studies, 2020, 33(5): 2326-2377.
[21] BABA-YARA F, BOONS M, TAMONI A. Persistent and transitory components of firm characteristics: Implications for asset pricing[J]. Journal of Financial Economics, 2024, 154: 103808.
[22] CATTANEO M D, CRUMP R K, FARRELL M H, et al. Characteristic-sorted portfolios: Estimation and inference[J]. Review of Economics and Statistics, 2020, 102(3): 531-551.
[23] 汪卢俊.中国股票市场是弱式有效的吗——基于样本外预测的检验[J].当代经济科学,2014,36(02):62-69+126.
[24] XU L, XUE M, ZHANG X, et al. Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic[J]. International Review of Financial Analysis, 2023, 87: 102608.
[25] CHEN J, HABOUB A, KHAN A. Limits of arbitrage and their impact on market efficiency: Evidence from China[J]. Global Finance Journal, 2024, 59: 100916.
[26] ALLEN F, HAAS M D, NOWAK E, et al. Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze[J]. Journal of Financial Economics, 2021, 142(1): 166-94.
[27] SHARPE W F. Capital asset prices: A theory of market equilibrium under conditions of risk[J]. Journal of Finance,1964,19(3):425-442.
[28] LINTNER J. Security prices, risk, and maximal gains from diversification[J]. Journal of Finance,1965,20(4):587-615.
[29] MOSSIN J. Equilibrium in a capital asset market[J]. Econometrica,1966,34(4):768-783.
[30] MERTON R C. An intertemporal capital asset pricing model[J]. Econometrica, 1973, 41(5): 867-87.
[31] BAI J, BALI T G, WEN Q. RETRACTED: Common risk factors in the cross-section of corporate bond returns[J]. Journal of Financial Economics, 2019, 131(3): 619-42.
[32] DICKERSON A, MUELLER P, ROBOTTI C. Priced risk in corporate bonds[J]. Journal of Financial Economics, 2023, 150(2): 103707.
[33] LIU J, MOSKOWITZ T J, STAMBAUGH R F. Pricing without mispricing[R]. National Bureau of Economic Research, 2021.
[34] ROSS S A. The arbitrage theory of capital asset pricing[J]. Journal of Economic Theory, 1976, 13(3): 341-60.
[35] PESARAN M H, SMITH R P. Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios[J]. Econometrics and Statistics, 2023, 26: 17-30.
[36] BHANDARI L C. Debt/equity ratio and expected common stock returns: Empirical evidence[J]. The Journal of Finance, 1988, 43(2): 507-28.
[37] STATTMAN D. Book values and stock returns. The Chicago MBA:A Journal of Selected Papers, 1980, 4(1): 25-45.
[38] AMIHUD Y, MENDELSON H. The effects of beta, bid-ask spread, residual risk, and size on stock returns[J]. Journal of Finance, 1989, 44(2): 479-86.
[39] JEGADEESH N, TITMAN S. Returns to buying winners and selling losers: implications for stock market efficiency[J]. Journal of Finance, 1993, 48(1): 65-91.
[40] SPIESS D K, AFFLECK-GRAVES J. Underperformance in long-run stock returns following seasoned equity offerings[J]. Journal of Financial Economics, 1995, 38(3): 243-67.
[41] PIOTROSKI J D. Value investing: The use of historical financial statement information to separate winners from losers[J]. Journal of Accounting Research, 2000, 38: 1-41.
[42] ANG A, HODRICK R J, XING Y, et al. The cross-section of volatility and expected returns[J]. Journal of Finance, 2006, 61(1): 259-99.
[43] 汪炜,周宇. 中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例[J]. 经济研究, 2002, (10): 16-21+30-94.
[44] 张祥建,徐晋,郭岚. 上海股票市场“规模效应”的实证研究[J]. 管理科学, 2004, (03): 35-38.
[45] CHAN L K C, HAMAO Y, LAKONISHOK J. Fundamentals and stock returns in Japan[J]. Journal of Finance, 1991, 46(5): 1739-64.
[46] JIANG H. Institutional investors, intangible information, and the book-to-market effect[J]. Journal of Financial Economics, 2010, 96(1): 98-126.
[47] IQBAL M S, SALIH A, AKDENIZ L. Institutions and the book-to-market effect: The role of investment horizon[J]. International Review of Economics & Finance, 2023, 84: 140-53.
[48] BURNSIDE C, EICHENBAUM M, REBELO S. Carry trade and momentum in currency markets[J]. Annual Review of Financial Economics, 2011, 3(Volume 3, 2011): 511-35.
[49] MENKHOFF L, SARNO L, SCHMELING M, et al. Currency momentum strategies[J]. Journal of Financial Economics, 2012, 106(3): 660-84.
[50] HESTON S L, JONES C S, KHORRAM M, et al. Option momentum[J]. Journal of Finance, 2023, 78(6): 3141-3192.
[51] SIHVONEN M. Yield curve momentum[J]. Bank of Finland Research Discussion Paper, 2021 (15).
[52] HUANG D, LI J, WANG L, et al. Time series momentum: Is it there?[J]. Journal of Financial Economics, 2020, 135(3): 774-94.
[53] MEDHAT M, SCHMELING M. Short-term momentum[J]. Review of Financial Studies, 2022, 35(3): 1480-526.
[54] ZAREMBA A, UMUTLU M, KARATHANASOPOULOS A. Alpha momentum and alpha reversal in country and industry equity indexes[J]. Journal of Empirical Finance, 2019, 53: 144-61.
[55] REINGANUM M R. Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values[J]. Journal of Financial Economics, 1981, 9: 19-46.
[56] BASU S. The relationship between earnings' yield, market value and return for NYSE common stocks: Further evidence[J]. Journal of Financial Economics, 1983, 12(1): 129-56.
[57] FAMA E F, FRENCH K R. The cross‐section of expected stock returns[J]. Journal of Finance, 1992, 47(2): 427-65.
[58] FAMA E F, FRENCH K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics, 1993, 33(1): 3-56.
[59] CARHART M M. On persistence in mutual fund performance[J]. Journal of Finance, 1997, 52(1): 57-82.
[60] FAMA E F, FRENCH K R. A five-factor asset pricing model[J]. Journal of Financial Economics, 2015, 116(1): 1-22.
[61] HOU K, XUE C, ZHANG L. Digesting anomalies: An investment approach[J]. Review of Financial Studies, 2015, 28(3): 650-705.
[62] 毛小元,陈梦根,杨云红. 配股对股票长期收益的影响:基于改进三因子模型的研究[J]. 金融研究, 2008, (05): 114-129.
[63] 贺炎林. 基于状态转移信息对FF三因子模型的改进[J]. 中国管理科学, 2008, (01): 7-15. DOI:10.16381/j.cnki.issn1003-207x.2008.01.019.
[64] 李志冰,杨光艺,冯永昌,等. Fama-French五因子模型在中国股票市场的实证检验[J].金融研究,2017(06):191-206.
[65] LIU J, STAMBAUGH R F, YUAN Y. Size and value in China[J]. Journal of Financial Economics, 2019, 134(1): 48-69.
[66] STAMBAUGH R F, YUAN Y. Mispricing factors[J]. Review of Financial Studies, 2017, 30(4): 1270-315.
[67] DANIEL K, HIRSHLEIFER D, SUN L. Short- and long-horizon behavioral factors[J]. Review of Financial Studies, 2019, 33(4): 1673-736.
[68] 姜富伟, 马甜, 张宏伟. 高风险低收益? 基于机器学习的动态 CAPM 模型解释[J]. 管理科学学报, 2021, 24(1): 109-126.
[69] DANIEL K, MOTA L, ROTTKE S, et al. The cross-section of risk and returns[J]. Review of Financial Studies, 2020, 33(5): 1927-1979.
[70] KELOHARJU M, LINNAINMAA J T, NYBERG P. Long-term discount rates do not vary across firms[J]. Journal of Financial Economics, 2021, 141(3): 946-967.
[71] GU S, KELLY B, XIU D. Empirical asset pricing via machine learning[J]. Review of Financial Studies, 2020, 33(5): 2223-73.
[72] JIANG F, TANG G, ZHOU G. Firm characteristics and Chinese stocks[J]. Journal of Management Science and Engineering, 2018, 3(4): 259-83.
[73] 李斌,邵新月,李玥阳.机器学习驱动的基本面量化投资研究[J].中国工业经 济,2019,No.377(08):61-79.DOI:10.19581/j.cnki.ciejournal.2019.08.004.
[74] LEIPPOLD M, WANG Q, ZHOU W. Machine learning in the Chinese stock market[J]. Journal of Financial Economics, 2022, 145(2, Part A): 64-82.
[75] JENSEN T I, KELLY B, PEDERSEN L H. Is there a replication crisis in finance?[J]. Journal of Finance, 2023, 78(5): 2465-518.
[76] CHORDIA T, GOYAL A, SARETTO A. Anomalies and false rejections[J]. Review of Financial Studies, 2020, 33(5): 2134-79.
[77] MARQUERING W, NISSER J, VALLA T. Disappearing anomalies: A dynamic analysis of the persistence of anomalies[J]. Applied Financial Economics, 2006, 16(4): 291-302.
[78] MCLEAN R D, PONTIFF J. Does academic research destroy stock return predictability?[J]. Journal of Finance, 2016, 71(1): 5-32.
[79] SHANAEV S, GHIMIRE B. Efficient scholars: academic attention and the disappearance of anomalies[J]. European Journal of Finance, 2021, 27(3): 278-304.
[80] GIBBONS M R, ROSS S A, SHANKEN J. A test of the efficiency of a given portfolio[J]. Econometrica: Journal of the Econometric Society, 1989: 1121-1152.
[81] STAMBAUGH R F, YU J, YUAN Y. The short of it: Investor sentiment and anomalies[J]. Journal of Financial Economics, 2012, 104(2): 288-302.
[82] KOZAK S, NAGEL S, SANTOSH S. Shrinking the cross-section[J]. Journal of Financial Economics, 2020, 135(2): 271-292.
[83] HADDAD V, KOZAK S, SANTOSH S. Factor timing[J]. Review of Financial Studies, 2020, 33(5): 1980-2018.