因子投资的目的(因子投资方法与实践下载)

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本文节选自《因子投资的目的》

PanelA:等权重Low23寺56T89HighHigh-Low1191321471501551421361251241.14一0.04(1.60)(1.78)(1.97)(2.00)(2.16)(2.00)(192)(179)(79)(1.73)(-0.14)PanelB:市值加权Low23二56789HighHigh-Low0.870.820.880.611.020.910.780.910.710.950.08(1.21)(1.13)(1.26)(0.90)(1.53)(1.32)(13(1.53)(120)(1.49)(0.20)括号内为经Newey-West调整的值。接下来，关注动量和市值进行双重排序的检验结果。无论采用等权重还是市值加权，在按市值分组得到的Small和2这两组中，赢家组的收益率低于输家组的收益率，而在4和Large两组中，请家组合的收益率高于输家组合的收益率。毕合这两点可以看出，动量效应仅微弱地存在于A股的大市值股票中，而对于小市值的股票则更多地表现出反转。将五组平均后得到动量因子。当采用等

因子投资方法

权重时，动量因子的月均收益率为0.05%〈t-值仅为0.22);当采用市值加权时，动量因子的月均收益率为0.06%〈太-值仅为0.29)。这两个结果均非常不显著，说明以学术界中的常见方法构建的动量效应并不存在于A股市场中。3.21动量和市值独立双重排序月均收益率〈%%)PanelA:等权重Low和344HighHigh-Low1.942.31全221.931.70一0.23Small(2.56)(2.85(2.85)(2.42)2(一0.91)，1.481.481.511.481.39一0.09(1.92)(1.93(2.08)(2.04)1.91)(一0.39)g1.141.291.211.141.14一0.01(1.50)(LI(1.68)(1.58)1.55)(一0.03)0.871.041.050.901.090.23(1.19)(1.40(1.50)(1.30)1.60)(0.89)0.510.821.050.890.840.34Large(0.70)(1.20(1.50)(1.34)1.29)(0.96)平

因子投资CSDN

均1.191.39二.427二好0.05(1.61)(1.88)(1.98)(1.79)1.78)(0.22)PanelB:市值加权Low2纪生HighHigh-Low1.882.262.171.881.68一0.20Small(2.50)(2.79(2.79)(2.35)2.13)(一0.78)91.461.471.501.471.39一0.07(1.89)(1.91(2.06)(2.02)1.91)(一0.30)工:131.281.20二二二和0.00(1.49)(1.70(1.67)(1.59)1.54)(0.00)0.851.041.050.921.090.24(1.18)(1.40(15)(133)1.61)(0.93)0.450.750.970.900.800.35Large(0.62)(1.10(1.39)(1.38)1.21)(0.94)平均1.161.361.381.261.220.06(1.58)(1.85(1.95)(1.80)1.76)(0.29)括号内为经Newey-West调整的上值。

因子投资豆瓣

综上：因子投资方法与实践下载值得推荐阅读