| 讲座简介： | 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%, nearly triples the U.S. evidence, 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. |
