卖空约束下动量策略在牛市中的盈利性分析

Many foreign scholars' empirical results show that strategies which buy winners and sell losers generate significant positive returns. China's A-share market has short-sale constraints, it is quite different from other mature stock market. So, this paper do some targeted empirical analysis by simply buying winners or losers to test that if any strategies which are similar or opposite with momentum trading exist in A-share market. Our study period is defined in the two bull market cycle since the split share structure reform of A-share market in 2005. The empirical results show that even without considering the transaction costs, the two long equity strategies are also difficult to have a significantly better performance than overall sample.