0.28819**0.34238**0.39105**0.39213*0.39219** 3|b 0.31381*0.28111**0.25655**0.26284米 0.26599 u-sel0.0256157-0.0612653-0.1345**-0.1229*一0.1262* sell 0.3397**0.39307**0.43506**0.42741**0.41624* 4[buy0.27583*0.24532*0.2285 0.25833* 0.26773* buy-sel1-0.0581395-0.14776*-0.2062* 0.16909**-0.14851** 0.40337*0.45163**0.4808**0.43848**0.42424** 0.29476*0.26324* 0.25196*0.25137 27925 buy-sell[-010861 0.18839**-0.22884**-0.18711**|-0.14499 sell 0.39298**0.43395**0.4566**0.40038***0.4003** 6 bu 0.25149*0.21772 0.20873 0.20703 0.23876 buy-sel1-0. 14149 0.21623**-0.24787**-0.19335**-0.16158 sell 0.360290.40309*0.42132*来*0.3728**0.36787** buy 0.21784 0.18247 0.18223 0.1784 0.20858 buy-sell-0.142450.22062*-0,23909*来-0.19440**「-0.15929 0.36749米*0.40741米0.43326来*0.37491**0.37085来 8 buy 0.197120.16782 0.16319 0.15861 0.19192 buy-sel1-0.17037-0.23959*-0.27006*-0.2163**-0.17893* lI 0.3662**0.40506**0.42596***0.36344*0.3558* 9 bu 0.19674 0.15718 0.15536 0.146 0.35558 buy=sel-0.16946-0.2478*-0.2706*0.21744*-0.17642* 0.38806*0.42396**0.4512**0.38661**0.37564* 10 buy 0.17019 0.11825 0.1193 0.11438 0.14415 buy-sel1-0.21786*-0.30571*-0.3319***-0.27224**-0.23149* 11 0.39267**0.43305**0.46682**0.39593*0.38473** 11 buy 0.12504 0.08176660.08325550.074939 0.11489 buy-se111-0.26763**_0.35128**-0.38356**0.321* 0.26984** 0.41146*0.45587**0.47613***0.39055*0.39113* 12 buy 0.115050.07806840.08067090.0743430.1208 buy-selL-0.29641**[_0.3778**-0.39546米*一0.31621**一0.27032* 表2:8-12周持有期动量效应结果 j/k组合 10 12 0.38174**0.3738米来*0.36492**0.36083*0.35443* 3 buy 0.27786*0.28932**0.30092**0.30647**0.30857* buy-se1lL-0.10388-0.084727-0.0640031-0.054356-0.0458647 sell0.4057**0.39575**0.3822*0.37364**0.36653* 4 buy 0.28203*0.29605**0.30557*0.30845 0.30977* buy-sel10.12367*-0.0997054-0.07665-0.0651908-0.0567602 lI 0.41349**0.4008来*0.38598*0.37649**0.36651* 0.29218**0.30347*0.31072**0.31569米*0.31689来 buy-sell-0.12131-0.0966029-0.0752616-0.0607988-0.04961 sel0.39846*0.38416**0.3677*710.35629*0.3456* 6 bu 0.27101*0.28218**0.29509**0.30015米0.30154*3 sell 0.28819** 0.34238** 0.39105*** 0.39213*** 0.39219*** buy 0.31381** 0.28111** 0.25655** 0.26284* 0.26599* buy-sell 0.0256157 -0.0612653 -0.1345** -0.12929* -0.1262* 4 sell 0.33397** 0.39307*** 0.43506*** 0.42741*** 0.41624*** buy 0.27583* 0.24532* 0.22885 0.25833* 0.26773* buy-sell -0.0581395 -0.14776* -0.2062** -0.16909** -0.14851** 5 sell 0.40337*** 0.45163*** 0.4808*** 0.43848*** 0.42424*** buy 0.29476** 0.26324* 0.25196* 0.25137* 0.27925* buy-sell -0.10861 -0.18839** -0.22884*** -0.18711** -0.14499* 6 sell 0.39298** 0.43395*** 0.4566*** 0.40038*** 0.40034*** buy 0.25149* 0.21772 0.20873 0.20703 0.23876 buy-sell -0.14149 -0.21623** -0.24787*** -0.19335** -0.16158* 7 sell 0.36029** 0.40309** 0.42132*** 0.3728** 0.36787** buy 0.21784 0.18247 0.18223 0.1784 0.20858 buy-sell -0.14245 -0.22062** -0.23909** -0.19440** -0.15929* 8 sell 0.36749** 0.40741** 0.43326*** 0.37491** 0.37085** buy 0.19712 0.16782 0.16319 0.15861 0.19192 buy-sell -0.17037 -0.23959** -0.27006** -0.2163** -0.17893* 9 sell 0.3662** 0.40506** 0.42596*** 0.36344** 0.35558* buy 0.19674 0.15718 0.15536 0.146 0.35558 buy-sell -0.16946 -0.24788** -0.2706** -0.21744** -0.17642* 10 sell 0.38806** 0.42396** 0.4512*** 0.38661** 0.37564** buy 0.17019 0.11825 0.1193 0.11438 0.14415 buy-sell -0.21786* -0.30571*** -0.3319*** -0.27224** -0.23149** 11 sell 0.39267** 0.43305** 0.46682*** 0.39593** 0.38473** buy 0.12504 0.0817666 0.0832555 0.074939 0.11489 buy-sell -0.26763** -0.35128*** -0.38356*** -0.321*** -0.26984** 12 sell 0.41146** 0.45587** 0.47613*** 0.39055** 0.39113** buy 0.11505 0.0780684 0.0806709 0.074343 0.1208 buy-sell -0.29641** -0.3778*** -0.39546*** -0.31621*** -0.27032** 表 2:8-12 周持有期动量效应结果 j/k 组合 8 9 10 11 12 3 sell 0.38174*** 0.3738*** 0.36492*** 0.36083** 0.35443** buy 0.27786** 0.28932** 0.30092** 0.30647** 0.30857** buy-sell -0.10388* -0.0844727 -0.0640031 -0.054356 -0.0458647 4 sell 0.4057*** 0.39575*** 0.38222*** 0.37364*** 0.36653*** buy 0.28203** 0.29605** 0.30557** 0.30845** 0.30977** buy-sell -0.12367* -0.0997054 -0.0766525 -0.0651908 -0.0567602 5 sell 0.41349*** 0.40008*** 0.38598*** 0.37649*** 0.36651** buy 0.29218** 0.30347** 0.31072** 0.31569** 0.31689** buy-sell -0.12131 -0.0966029 -0.0752616 -0.0607988 -0.0496144 6 sell 0.39846*** 0.38416*** 0.36777** 0.35629** 0.3456** buy 0.27101* 0.28218** 0.29509** 0.30015** 0.30154**