楼主: xugonglei
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[统计套利] 【好文分享】Anomalies in Chinese A-Shares [分享]

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xugonglei 发表于 2017-10-19 13:19:31 |显示全部楼层
希望对因子选股有所帮助,也希望多多交流。
下面是这个文章的一个介绍:

We apply well-studied factor strategies from the U.S. equity anomalies literature to Chinese A-shares, demonstrating which factors have worked and which have not over the last two decades since the opening of China’s stock markets. We find while a number of traditional factors like value and size appear to work well in China, other factors are less effective, including A-shares momentum which works in the opposite direction. Our analysis reconciles conflicting results from the prior A-shares anomalies literature and explains differences in U.S. and Chinese factor investing experiences on the basis of unique features of China’s evolving investing landscape, including issues related to regulation, financial reporting standards, differences in market microstructure, and investor behavior. After reviewing evidence on the performance of specific factor strategies applied to A-shares, we demonstrate ways in which a deep institutional knowledge of China’s financial markets leads to more effective investment strategies through factor design and portfolio construction tailored to novel features of A-shares. Our findings will be of interest to researchers of equity anomalies and to those developing quantitative strategies for Chinese equities.


Anomalies in Chinese A-Shares.pdf (1.08 MB, 售价: 5 个论坛币)
关键词:Anomalies Chinese Shares share lies

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军旗飞扬 发表于 2017-10-19 13:31:59 |显示全部楼层
谢谢楼主分享!
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sukiyou2000 发表于 2017-10-20 08:49:31 |显示全部楼层
多谢分享!
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stilwell 发表于 2017-11-26 01:34:45 |显示全部楼层
谢谢分享,非常好的国内因子投资文章。
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sadnessczx 发表于 2018-8-14 10:41:21 |显示全部楼层
谢谢分享
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304345155 发表于 2018-9-18 00:12:22 |显示全部楼层
太狠了~文献也要钱~哈哈
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enigma 发表于 2019-6-21 01:27:11 来自手机 |显示全部楼层
感谢分享,正需要!
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