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Advances in Social Science, Education and Humanities Research
By analyzing the data of China's stock return from 2001 to 2021, this paper uses the five factor model to study the impact of disposal effect on the excess return of portfolio based on reversal strategy, so as to judge whether the disposal effect is one of the driving factors of reversal effect in China's stock market, and constructs the disposal factor based on the five factor model. Compared with the stock markets of developed countries, the momentum effect in China's stock market is weak anddoi:10.2991/assehr.k.220401.059 fatcat:nzbzvd7zo5h2zor3obhvyv4bha