股票學(xué)術(shù)研究成選股策略殺手
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????如果你希望某項(xiàng)股票交易策略能夠?qū)崿F(xiàn)預(yù)期效果，切勿傳授他人。 ????學(xué)術(shù)研究人員非常擅長識(shí)別大量可以預(yù)測股票表現(xiàn)的特征，此外他們還善于宣傳自己的研究成果。但問題就出在這里。 ????涉及新的交易策略的學(xué)術(shù)論文發(fā)表之后會(huì)發(fā)生什么情況？對于這個(gè)問題，美國麻省理工學(xué)院（MIT）教授大衛(wèi)?麥克萊恩和波士頓大學(xué)（Boston College）教授杰弗里?龐迪夫著手進(jìn)行了研究。他們發(fā)現(xiàn)，相關(guān)的新交易策略會(huì)在論文發(fā)表后迅速失效。 ????麥克萊恩解釋說：“我們的研究結(jié)果表明，學(xué)術(shù)研究人員發(fā)表了一篇有關(guān)某項(xiàng)新交易策略的論文之后，投資者便會(huì)從這篇論文中學(xué)到這項(xiàng)策略，然后開始按照這項(xiàng)策略進(jìn)行交易。這樣的交易就會(huì)對股價(jià)造成相應(yīng)的影響，從而使得股價(jià)更加趨向于各自的基本價(jià)值，轉(zhuǎn)而使得采取這個(gè)策略所能獲得的利潤明顯降低。顯然，學(xué)術(shù)研究破壞了交易策略在股票收益率方面的可預(yù)測性?！?/p> ????這兩位研究人員對68篇經(jīng)同行評議的研究論文中所述及的82個(gè)不同的選股特征進(jìn)行了分析。他們發(fā)現(xiàn)，相關(guān)的研究論文發(fā)表之后，這些選股特征就會(huì)“績效衰退”約35％。尤其是在涉及市值較大、流動(dòng)性強(qiáng)而且具有高股息收益率的股票的交易策略中，這種“績效衰退”的情況更為嚴(yán)重。 ????所有這一切本身固然合情合理。畢竟，成功選股主要在于意識(shí)到別人沒有意識(shí)到的某種價(jià)值（因而也是他把股票拋售給你的原因）。但是，值得質(zhì)疑的是，這些學(xué)術(shù)研究人員花費(fèi)大量時(shí)間來識(shí)別這些交易策略是否有價(jià)值。如果這種策略從公開發(fā)表的那一刻起就大致上已經(jīng)變得沒有多大用處的話，那么他們差不多就是在“創(chuàng)造歷史”，也就是記錄已成過眼云煙的往事，而對未來的股票交易毫無幫助…… ????譯者：iDo98 |
????If you want a stock trading strategy to work, keep it to yourself. ????Academics are very good at identifying characteristics that can predict stock performance. They also are good at publicizing their findings. And therein lies the problem. ????Professors David McLean (MIT) and Jeffrey Pontiff (Boston College) set out to learn what happens after academic papers on new trading strategies are published, and found that the strategies quickly lose efficacy. ????"Our results suggest that when academics publish a paper about a new strategy, investors learn from the paper and begin to trade on that strategy," McLean explains. "This trading impacts prices, bringing them more in line with fundamental values. This in turn makes the strategy less profitable, so it appears that academic research destroys stock return predictability." ????The researchers analyzed 82 different stock-picking characteristics contained in 68 peer-reviewed studies, and found that characteristics "decay" by approximately 35% post-publication. The decay is particularly severe among strategies that involve trading stocks that are large, liquid and have high-dividend yields. ????All of this makes inherent sense. After all, successful stock-picking is largely about realizing something that the other guy doesn't (thus the reason he sells you shares). What it does question, however, is the value of academics spending their time trying to identify such strategies. If the strategy becomes largely irrelevant the moment it gets published, then it's almost like they're literally creating history... |
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