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CFA考点:January effect(一月效应)的问题

发表时间:2015-06-19 10:56 编辑: 告诉小伙伴:
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CFA考点:关于January effect(一月效应)的判断问题,一月效应不光在股市中有,也出现在CFA考试中哦。依据CFA考试经验和CFA历年真题,探讨CFA考点内容,帮助大家更快提高CFA成绩。

关于January effect(一月效应)的判断问题

1、Which of the following is not one of the reasons of January effect?

A.  Tax loss

B.  Window dressing

C.  New information

Solution: C

January effect Calendar anomaly that stock market returns in January are significantly higher compared to the rest of the months of the year, with most of the abnormal returns reported during the first five trading days in January.  Also called turn-of-the-year effect.The January effect contradicts the efficient market hypothesis because excess returns in January are not attributed to any new and relevant information or news. A number of reasons have been suggested for this anomaly, including tax-loss selling. Researchers have speculated that, in order to reduce their tax liabilities, investors sell their "loser" securities in December for the purpose of creating capital losses, which can then be used to offset any capital gains. A related explanation is that these losers tend to be small-cap stocks with high volatility.

Another possible explanation for the anomaly is so-called "window dressing", a practice in which portfolio managers sell their riskier securities prior to 31 December. The explanation is as follows: many portfolio managers prepare the annual reports of their portfolio holdings as of 31 December. Selling riskier securities is an attempt to make their portfolios appear less risky. After 31 December, a portfolio manager would then simply purchase riskier securities in an attempt to earn higher returns. However, similar to the tax-loss selling hypothesis, the research evidence in support of the window dressing hypothesis explains some, but not all, of the anomaly.

(一月效应日历异常的股市回报率在一月份的高显著相比,今年的月休息,大部分在一月份的第一个五个交易日报异常回报。也被称为开启-的年生效。一月效应相矛盾的有效市场假说,因为在一月份的超额收益并不属于任何新的和相关的信息或新闻。有很多原因已经提出了这种异常,包括税损卖盘。研究人员推测,为了减轻他们的税务责任,为投资者创造的资本损失,则可以用来抵消任何资本收益的目的,在十二月出售他们的“失败者”的证券。一个相关的解释是,这些失败者往往是小盘股具有较高的波动性。另一种可能的解释为异常是所谓的“门面”,这种做法在投资组合经理卖出风险较高的证券之前,12月31日。的解释如下:许多投资组合经理准备自己的投资组合持有的31十二月年度报告。销售风险较高的证券是企图使自己的投资组合出现风险较小。 12月31日之后,投资组合经理会那么只需购买风险较高的证券,试图以赚取更高的回报。但是,类似税务损卖盘假说,研究证据支持的门面假说解释了一些,但不是所有的异常。)

        金程cfa延伸讲解:股市中有“月度效应”一说,根据有效市场假说,在有效市场中不存在非正常收益,但 “月度效应”明显存在非正常收益,是违反市场有效性的异常现象之一,“January Effect(一月效应)”为其中最著名论断。一月效应有两层含义,其一:一月的日均收益率高于其它月份;其二:一月阴阳与一年阴阳成正相关关系。

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