中国股票月度反转

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学术论文

新兴股票市场中的日度动量与新投资者

作者Zhenyu Gao; Wenxi Jiang; Wei Xiong

机构
  • Chinese University of Hong Kong
  • The Chinese University of Hong Kong (CUHK) - CUHK Business School
  • Yale University
  • CUHK Business School, The Chinese University of Hong Kong
  • Shenzhen Stock Exchange
  • National Bureau of Economic Research
  • Princeton University
  • National Bureau of Economic Research (NBER)
  • Princeton University - Department of Economics

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:FXI、ASHR、EWH、SPY、BIL。再平衡:每月。Universe: FXI, ASHR, EWH, SPY, BIL. Parameters: rebalance=monthly.