主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
Chinese Journal of Management Science

Chinese Journal of Management Science >

2015 , Vol. 23 >Issue 6: 57 - 64

DOI: https://doi.org/10.16381/j.cnki.issn1003-207x.201.06.008

Articles

The Selection and Evaluation of Asset Portfolios Over Multi Horizons by DEA Combing Value and Momentum Strategies

Expand
  • 1. School of Business Administration, Hunan University, Changsha 410082, China;
    2. School of Management, University of Science and Technology of China, Hefei 230026, China

Received date: 2013-12-02

  Revised date: 2014-04-28

  Online published: 2015-07-22

Fold

Abstract

The methods of DEA are used to integrate effective value and momentum indicators in this paper. By such a integration, new asset portfolios are constructed. And using the expected return (ER) and risk-adjusted return (RAR) evaluates their efficiencies relative to traditional portfolios. The investigations for CSI 300 show that the portfolios consisting of high DEA performance stocks are significantly higher than CSI 300 portfolio. And their values of ER and RAR also exceed those portfolios from single value and winner strategies. Meantime, the hedge trade strategy, which simultaneously holds the long position of high DEA performance portfolios and the short position of low DEA performance portfolios,is designed to bring investors obviously excess returns over relatively long horizons.

Key words： multi investment horizons; DEA; value investment strategy; momentum investment strategy; portfolio performance

Cite this article

YANG Hong-lin, CUI Yan-chen, ZHA Yong, CHEN Shou . The Selection and Evaluation of Asset Portfolios Over Multi Horizons by DEA Combing Value and Momentum Strategies[J]. Chinese Journal of Management Science, 2015 , 23(6) : 57 -64 . DOI: 10.16381/j.cnki.issn1003-207x.201.06.008

References

[1] Fama E F, French K R. The cross-section of expected stock return[J]. The Journal of Finance, 1992, 47(2): 427-465.

[2] Fama E F, French K R. Common risk factors in the returns on stocks and bonds[J]. The Journal of Finance Economics, 1993, 33(1): 3-56.

[3] Fama E F, French K R. Value versus growth: The international evidence[J]. The Journal of Finance, 1998, 53(6): 1975-1999.

[4] Lakonishok J, Shleifer A,Vishny R W. Contrarian investment, extrapolation, and risk[J]. The Journal of Finance, 1994, 49(5): 1541-1578.

[5] Jagadeesh N, Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency[J]. The Journal of Finance 1993, 48(1): 65-91.

[6] Rouwenhorst K G. International momentum strategies[J]. The Journal of Finance, 1998, 53(1): 267-284.

[7] Griffin J M, Ji Xiuqing, Martin J S. Momentum investing and business cycle risk: Evidence from pole to pole[J]. The Journal of Finance, 2003, 58(6): 2515-2547.

[8] Chui A C W, Titman A S, Wei K C J. Individualism and momentum around the world[J]. The Journal of Finance, 2010, 65(1): 361-392.

[9] Asness C S. The Interaction of value and momentum strategies[J]. Financial Analysts Journal, 1997, 53(2): 29-36.

[10] Bird R, Casavecchia L. Value enhancement using momentum indicators: The European experience[J]. International Journal of Managerial Finance, 2007, 3(3): 229-262.

[11] Sagi J S, Seasholes M S. Firm-specific attributes and the cross-section of momentum[J]. The Journal of Financial Economics, 2007, 84(2): 389-434.

[12] Figelman I. Interaction of stock return momentum with earnings measures[J]. Financial Analysts Journal, 2007, 63(3): 71-78.

[13] Fama E F, French K R. Size, value, and momentum in international stock returns[J]. The Journal of Finance Economics, 2012, 105(3): 457-472.

[14] Asness C S, Moskowitz T J,Pedersen L J. Value and momentum everywhere[J]. The Journal of Finance, 2013, 68(3): 929-985.

[15] Patari E., Leivo T,Honkapuro S. Enhancement of equity portfolio performance using data envelopment analysis[J]. European Journal of Operational Research, 2012, 220(3): 786-797.

[16] Kahneman D, Tversky A. Prospect theory: An analysis of decision under risk[J]. Journal of the Econometric Society, 1979, 47(2): 263-292.

[17] Charnes A, Cooper W W, Rhodes E L. Measuring the eciency of decision making units[J]. European Journal of Operational Research, 1978, 2(6): 429-444.

[18] Banker R D, Charnes A, Cooper W W. Some models for estimating technical and scale ineciencies in data envelopment analysis[J]. Management Science, 1984, 30(9): 1078-1092.

[19] Cook W D, Seiford L M. Data envelopment analysis (DEA)-thirty years on[J]. European Journal of Operational Research, 2009, 192(1): 1-17.

[20] 易荣华, 吴价宝. 基于DEA的相对投资价值评价与股票投资策略研究[J]. 中国管理科学, 2004, 12(Z1): 302-307.

[21] Portela S, Thanassoulis E, Simpson G. Negative data in DEA: A directional distance approach applied to bank branches [J]. The Journal of the Operational Research Society, 2004, 56(10): 1111-1121.

[22] 易荣华, 刘云, 刘家鹏. 基于DEA 的行业相对估值效率测度——理论与实证[J]. 中国管理科学, 2012, 5(3): 79-85.

[23] Qian E, Hua R. Active risk and information ratio, 2004, 2(3): 1-15.
Options
Outlines

/

〈 〉