Factor momentum in the Chinese stock market

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2023-12-07 DOI:10.1016/j.jempfin.2023.101458

Tian Ma , Cunfei Liao , Fuwei Jiang

引用次数: 0

Abstract

Based on 10 commonly used factors, we construct a novel factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91 %, with a Sharpe ratio of 1.15. Factor momentum subsumes stock momentum, high-priced momentum, and industry momentum, digests its component factors and a variety of anomalies, and represents the momentum anomaly in China. Furthermore, mispricing correction helps explain factor momentum, which produces stronger returns during higher aggregate idiosyncratic volatility periods as well as among stocks with higher information asymmetry and short-sale constraints. Exposure to factor premiums and the manifestation of predictability determine factor momentum in China.

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中国股市的因素动量

基于 10 个常用因子，我们在中国股市构建了一个新颖的因子动量策略，其年化收益率为 9.91%，夏普比率为 1.15。因子动量包含股票动量、高价动量和行业动量，消化了其组成因子和各种异常现象，代表了中国的动量异常现象。此外，错误定价修正有助于解释因子动量，在总特异波动率较高的时期，以及在信息不对称和卖空约束较高的股票中，因子动量会产生更强的回报。因子溢价的暴露和可预测性的体现决定了中国的因子动量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.