文章考虑风险与收益的时变性，提出了变系数市场模型以便更好的捕获市场风险变化因素，建立了半参数alpha策略模型，并以沪深300指数及其成分股为研究对象，利用该半参数模型构建可以取得alpha策略反转效应的股票组合，文章还对半参数alpha策略的反转效应的持有期长短、股票稳定性对反转效应的影响进行了研究。实证结果表明所提出的模型可以作为较为理想的预测工具，同时也为提高投资收益和管理投资风险提供了一定的理论参考。
In this article, a semi-parametric alpha strategy model is proposed. The benefit of the proposed model is that the time-varying coefficient can explain the time point risk rather than the risk in a period of time. The local least square method is used to estimate time-varying coefficient and the estimate of alpha is easily derived by solving an estimating equation. Based on the semi-parametric model, the 30 low-ranking stock portfolios of alpha value are selected to observe the contrarian effect. It's found that the stock portfolio is better than market return and gain premium, showing the contrarian effect. The influence of the holding length and the stability of a stock on contrarian effect are also studied, and it's found that the selected stock portfolio performs better than CSI 300 index and its constituent stock. The empirical analysis proves that the semiparametric model can serve as a comparatively better predicting model, and our results can provide some theoretical references for managing risk and improving return.
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