Research on Small-Cap Value Rotation Investment Strategy Based on "Size Effect" - Evidence from the Chinese Stock Market

Abstract This paper investigates the small-cap value rotation investment strategy. This paper analyzes the rationality and applicability of small-market rotation strategy from two aspects: theoretical analysis and practical test. This paper first sorts out and expounds the theoretical basis of small-cap rotation investment strategy. Subsequently, the details of the strategy are introduced in additional with some notice that the investor should pay attention to. Besides, its returns and applicability are examined, which is based on the real data from Chinese stock market. The results indicate that the small-cap value rotation investment strategy remains viable in today's Chinese stock market, but its applicability exhibits certain cyclical variations. Therefore, when adopting such an investment strategy, careful consideration of its specific applicability is necessary. JEL classification numbers: G11, G14, G24. Keywords: Size Effect, Small-Cap, Investment Strategy.