聪明的贝塔:来自A股市场因子动量效应的实证研究  

Smart Beta:An Empirical Study on the Factor Momentum Effect of A-share Market

作　　者：顾明 熊志涛 陈海强 GU Ming;XIONG Zhitao;CHEN Haiqiang(School of Economics,Xiamen University,Xiamen 361005,China;Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China)

机构地区：[1]厦门大学经济学院,厦门361005 [2]厦门大学王亚南经济研究院,厦门361005

出　　处：《计量经济学报》2024年第3期653-672,共20页China Journal of Econometrics

基　　金：国家自然科学基金(72173104,72233002,72273115)。

摘　　要：本文检验了因子动量策略在中国市场上的盈利能力,并对因子动量策略的超额收益来源给出了合理解释.研究发现因子动量策略在A股市场可以获得显著的超额收益,且多头端贡献了策略的大部分收益.在考虑控制多个横截面指标,不同的经济状态下以及使用不同的因子数量作为因子样本后,因子动量策略的收益仍然显著.本文进一步从行为金融学角度发现投资者情绪越低,因子动量策略的收益会越高.且在极端市场行情下,因子动量策略的收益高于平稳市场.本文为中国机构投资者根据因子动量进行市场择时的可行性提供了有力证据,对丰富机构投资者的价值投资策略也有一定的启示.This paper tests the profitability of the factor momentum strategy in the Chinese market,and gives a reasonable explanation for the source of excess returns of the factor momentum strategy.It is found that the factor momentum strategy can obtain significant excess returns in the A-share market,and the bull side contributes most of the returns of the strategy.After considering the control of multiple crosssectional indicators,different economic states,and the use of different factor numbers as a factor sample,the return of factor momentum strategy is still significant.From the perspective of behavioral finance,this paper further finds that the lower investor sentiment,the higher the return of factor momentum strategy.In extreme market conditions,the return of factor momentum strategy is higher than that of stable market.This paper provides strong evidence for the feasibility of Chinese institutional investors’market timing based on factor momentum,and has some inspiration to enrich the value investment strategies of institutional investors.

关 键 词：因子动量 投资者情绪 机构投资者 

分 类 号：F832.51[经济管理—金融学] F224