An Empirical Study on the Medium and Long Term Overreaction of the Growth Enterprise Market
Abstract
This paper uses the "winner portfolio loser portfolio" model proposed by Jegadeesh and Titman in 1993 to measure the market efficiency of China's GEM from 2016 to 2021. The results show that the reverse arbitrage model of the sample consisting of 238 stocks in the GEM obviously violates the random walk model of stock prices in the empirical interval. The winner portfolio and loser portfolio based on the past price trend of stocks show statistically significant reverse effect returns and momentum effect returns respectively in the test period. Moreover, Fama French three factor model cannot explain the excess return obtained by arbitrage portfolio from the perspective of risk pricing. Based on the above conclusions, some conclusions and suggestions are put forward.
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DOI: http://dx.doi.org/10.18686/fm.v8i2.6577
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