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中文摘要：
本文以中国A股市场2007～2013年的上市公司为样本，运用Fama-MacBeth模型研究了企业投资对股票市场收益率期限结构的影响，在此基础上探讨构造动量套利策略的可能性。结论显示：（1）我国股票市场上反转效应持续期为3个月，超过3个月后变为动量效应；（2）投资可以显著影响股票收益率的期限结构，投资减弱了反转效应的强度，而增强了动量效应的强度；（3）根据股票收益率期限结构，并考虑投资和行业因素，在我国股票市场上采取行业内套利策略和行业间套利策略是有利可图的。
英文摘要：
This paper takes listed companies from Chinese A-share stock market as sample from 2007 to 2013. Based on the Fama-MacBeth model, we research how investment impacts the term structure of stock returns, and we also explore the possibility of constructing the momentum arbitrage strategy. The conclusions are as followed： （1） Reversal effect of China＇s stock market will continue 3 months, but after this period the effect will change to momentum effect; （2） The investment has a significant impact on the term structure of stock returns. Investment can weaken the reverse effect and strengthen the momentum effect; （3） According to the term structure of stock returns, it is profitable of adopting intra-industry and interindustry arbitrage in the China＇s stock market by taking investment and industry factors into consideration.
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