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上证综合指数、深证成分指数和沪深300指数投资组合异常日收益率实际出现的次数与收益率服从正态分布的假设相矛盾。投资者如果依据这一假设进行投资将低估股票市场风险。上证综合指数投资组合与深证成份指数投资组合受异常收益率的影响非常大,一旦投资者错过上尾部异常日收益率或遭遇下尾部异常日收益率,其长期收益率将发生较大变化。由于投资者事前几乎不可能预测到异常收益率的出现,其最佳的投资策略应该是长期持有指数投资组合。相比之下,沪深300指数投资组合的收益率受其异常日收益率的影响很小。
The actual number of abnormal daily returns of the composite of the Shanghai Composite Index, the Shenzhen Component Index and the CSI 300 Index contradicts the hypothesis that the yield rate follows a normal distribution. Investors who underline this assumption will underestimate the stock market risk. The portfolio of the Shanghai Composite Index and the Shenzhen Component Index bear a very large impact on the abnormal return rate. Once investors miss the upper tail abnormal daily rate of return or the next tail abnormal daily rate of return, the long-term return rate will change significantly. Since it is almost impossible for investors to predict the abnormal return rate in advance, the best investment strategy should be long-term index portfolio. In contrast, the return on the CSI 300 Index portfolio is less affected by its abnormal daily returns.