The Journal of Portfolio Management, Volume 44, No.7, Summer 2018

中国A股异象

作者：Jason Hsu（Rayliant Global Advisors; University of California,）

Vivek Viswanathan（Rayliant Global Advisors）

Michael Wang （Rayliant Global Advisors）

Phillip Wool (Rayliant Global Advisors)

摘要：在本文中，作者将美国股权异象文献中充分研究的因子策略应用于中国A股，阐述了自中国股市开放以来过去二十年来哪些因子起作用，哪些因子尚未发挥作用。他们发现虽然一些传统因子，如价值和规模在中国看起来运作良好，但其他因子效果较差 - 包括A股动量，它在相反的方向起作用。他们的分析调和了先前A股异象文献的冲突结果，并根据中国不断变化的投资环境的独特特征解释了美国和中国因子投资经验的差异，包括与监管，财务报告标准，市场微观结构差异和投资者行为等相关的问题。他们的研究结果将引起股票异象研究人员和那些利用中国股票构建量化策略的研究人员的兴趣。

Anomalies in Chinese A-Shares

Jason Hsu（Rayliant Global Advisors; University of California,）；Vivek Viswanathan（Rayliant Global Advisors）；Michael Wang （Rayliant Global Advisors）；Phillip Wool (Rayliant Global Advisors)

ABSTRACT

In this article, the authors 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. They find that although a number of traditional factors such as value and size appear to work well in China, other factors are less effective—including A-shares momentum, which works in the opposite direction. Their 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. Their findings will be of interest to researchers of equity anomalies and those developing quantitative strategies for Chinese equities.

原文链接：http://jpm.iijournals.com/content/44/7/108

翻译：黄涛