期刊
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
卷 26, 期 4, 页码 5259-5277出版社
WILEY
DOI: 10.1002/ijfe.2064
关键词
Chinese stock market; fundamental timing strategy; trend-following; value investing
资金
- Fundamental Research Funds for the Central Universities
- Hunan Natural Science Foundation [2019JJ50058]
- National Natural Science Foundation of China [71872195]
This paper proposes a fundamental timing strategy for both the U.S. and Chinese stock markets to select fundamentals sorted portfolios in the time-series dimension, achieving substantial performance gains relative to buy-and-hold strategies, particularly among firms with high idiosyncratic volatility and high illiquidity.
In this paper, we propose a fundamental timing strategy in both U.S. and Chinese stock markets to timing the fundamentals sorted portfolios such as value and profitability portfolios in the time-series dimension. We find that fundamental timing strategies based on moving average (MA) timing signals could generate substantial performance gains relative to buy-and-hold strategies. The annualized average return of fundamental timing strategies reaches about 37% with Sharpe ratio nearly 1.30. These findings are robust to Fama-French factor model adjustment, alternative lag lengths of MA signals, holding days, and transaction costs. Moreover, the fundamental timing premium cannot be explained away by market timing or business cycle, and fundamental timing is more profitable among firms with high idiosyncratic volatility and high illiquidity.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据