摘 要
因子投资模型作为现代资产定价理论的重要组成部分，近年来在全球范围内受到广泛关注。在中国A股市场中，由于其独特的制度背景和投资者结构，因子投资的有效性仍需深入探讨。本研究旨在检验经典因子模型（如Fama-French三因子模型）及其扩展形式在中国A股市场的适用性，并进一步分析本土化因子的潜在价值。研究采用2010年至2022年的A股市场数据，通过构建多空组合、回归分析及绩效评估等方法，系统性地验证了市值、账面市值比、动量、盈利能力和质量等因子的解释能力与预测能力。结果表明，传统因子在中国市场表现出一定的有效性，但其解释力显著低于成熟市场；同时，结合中国市场特征设计的本土化因子（如政策敏感性和交易行为因子）能够显著提升模型的表现。本研究的主要贡献在于揭示了中国A股市场因子投资的独特规律，为投资者提供了更具针对性的策略建议，并为后续研究奠定了实证基础。此外，研究还强调了在复杂市场环境中动态调整因子权重的重要性，为进一步优化因子投资模型提供了新的思路。
关键词：因子投资；中国市场；Fama-French三因子模型；本土化因子；动量效应
Abstract
Factor-based investment models, as a critical component of modern asset pricing theory, have garnered significant attention globally in recent years. In the context of China's A-share market, the effectiveness of factor investing requires further exploration due to its unique institutional background and investor structure. This study aims to examine the applicability of classical factor models, such as the Fama-French three-factor model, and their extended forms in the Chinese A-share market, while also analyzing the potential value of localized factors. Using A-share market data from 2010 to 2022, this research systematically evaluates the explanatory and predictive power of various factors, including size, book-to-market ratio, momentum, profitability, and quality, through the construction of long-short portfolios, regression analysis, and performance assessment. The findings indicate that traditional factors exhibit a certain level of effectiveness in the Chinese market, albeit with significantly lower explanatory power compared to developed markets. Moreover, localized factors designed based on the characteristics of the Chinese market, such as policy sensitivity and trading behavior factors, substantially enhance the performance of the models. The primary contribution of this study lies in uncovering the distinct patterns of factor investing in the Chinese A-share market, offering more targeted strategic recommendations for investors, and establishing an empirical foundation for future research. Additionally, the study highlights the importance of dynamically adjusting factor weights in complex market environments, providing new insights for the continued optimization of factor-based investment models.
Keywords: Factor Investing; Chinese Market; Fama-French Three-Factor Model; Localization Factor; Momentum Effect
目 录
1绪论 1
1.1因子投资模型的研究背景 1
1.2中国A股市场因子研究的意义 1
1.3国内外研究现状综述 1
1.4本文研究方法与创新点 2
2因子投资模型的理论基础 2
2.1因子投资的基本概念 2
2.2常见因子类型及其经济含义 3
2.3因子模型的数学表达形式 3
2.4因子模型在中国市场的适用性分析 4
2.5理论框架对实证研究的指导 4
3数据选择与研究设计 5
3.1A股市场数据特征分析 5
3.2因子构建与数据预处理方法 5
3.3样本选择与时间区间设定 6
3.4模型有效性检验指标体系 6
3.5实证研究的技术路线图 7
4因子投资模型的有效性检验 7
4.1单因子模型的实证结果分析 7
4.2多因子模型的综合表现评估 8
4.3不同市场环境下的因子稳定性测试 8
4.4因子交互作用对收益的影响研究 9
4.5模型有效性的局限性探讨 9
结论 11
参考文献 12
致 谢 13
