Research on Portfolio Disposal Effect Based on Reversal Strategy

Xijin Zhou
2022 Advances in Social Science, Education and Humanities Research   unpublished
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 and
more » ... the reversal effect is strong. This paper finds that there is a significant reversal effect in China's stock market in the past two decades. Due to the majority of retail investors in China's stock market, the disposal effect of investors is very common, and it can affect the excess return of portfolio under the reversal strategy.
doi:10.2991/assehr.k.220401.059 fatcat:nzbzvd7zo5h2zor3obhvyv4bha