Factor Investing Strategy:Evidence from China''s Stock Market
碩士 === 國立中興大學 === 財務金融學系所 === 106 === In the modern investment environment, the multi-factor investment theory has gradually matured and become the mainstream of market investment theory. There are also large numbers of literatures show that active funds with excellent performance actually have ver...
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ndltd-TW-106NCHU53040082019-05-16T01:24:30Z http://ndltd.ncl.edu.tw/handle/rqu7k7 Factor Investing Strategy:Evidence from China''s Stock Market 因子投資策略-以大陸股市為例 Hsiang-Wei Peng 彭詳崴 碩士 國立中興大學 財務金融學系所 106 In the modern investment environment, the multi-factor investment theory has gradually matured and become the mainstream of market investment theory. There are also large numbers of literatures show that active funds with excellent performance actually have very high ratios to use factor investment to explain their sources of returns. This study examines the factors used in the past literatures on factor investment, including market factors and value factors, and uses China’s A shares to construct a portfolio. We also analyze which factors are effective in the market, and whether the portfolio can generate excess returns. The empirical results show that some of the factors have a significant effect on the China’s stock market and the overall performance is significantly better than the market return in the past two decades by ranking the factor values and matching with particular indexes to construct a factorial portfolio. In addition, this study tests the two-factor model and the number of stocks increased in the portfolio as well. Most of the portfolios we construct have better performance than the market return. As the number of stocks increasing, it can effectively reduce the volatility of portfolio returns. Anchor Y.Lin Chung-Ying Yeh 林盈課 葉宗穎 2018 學位論文 ; thesis 38 zh-TW |
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碩士 === 國立中興大學 === 財務金融學系所 === 106 === In the modern investment environment, the multi-factor investment theory has gradually matured and become the mainstream of market investment theory. There are also large numbers of literatures show that active funds with excellent performance actually have very high ratios to use factor investment to explain their sources of returns. This study examines the factors used in the past literatures on factor investment, including market factors and value factors, and uses China’s A shares to construct a portfolio. We also analyze which factors are effective in the market, and whether the portfolio can generate excess returns.
The empirical results show that some of the factors have a significant effect on the China’s stock market and the overall performance is significantly better than the market return in the past two decades by ranking the factor values and matching with particular indexes to construct a factorial portfolio. In addition, this study tests the two-factor model and the number of stocks increased in the portfolio as well. Most of the portfolios we construct have better performance than the market return. As the number of stocks increasing, it can effectively reduce the volatility of portfolio returns.
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Anchor Y.Lin |
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Anchor Y.Lin Hsiang-Wei Peng 彭詳崴 |
author |
Hsiang-Wei Peng 彭詳崴 |
spellingShingle |
Hsiang-Wei Peng 彭詳崴 Factor Investing Strategy:Evidence from China''s Stock Market |
author_sort |
Hsiang-Wei Peng |
title |
Factor Investing Strategy:Evidence from China''s Stock Market |
title_short |
Factor Investing Strategy:Evidence from China''s Stock Market |
title_full |
Factor Investing Strategy:Evidence from China''s Stock Market |
title_fullStr |
Factor Investing Strategy:Evidence from China''s Stock Market |
title_full_unstemmed |
Factor Investing Strategy:Evidence from China''s Stock Market |
title_sort |
factor investing strategy:evidence from china''s stock market |
publishDate |
2018 |
url |
http://ndltd.ncl.edu.tw/handle/rqu7k7 |
work_keys_str_mv |
AT hsiangweipeng factorinvestingstrategyevidencefromchinasstockmarket AT péngxiángwǎi factorinvestingstrategyevidencefromchinasstockmarket AT hsiangweipeng yīnzitóuzīcèlüèyǐdàlùgǔshìwèilì AT péngxiángwǎi yīnzitóuzīcèlüèyǐdàlùgǔshìwèilì |
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