China's capital market has been developing continuously in recent years, and the scale of capital market is getting larger and larger. The participation structure of China's stock market is not dominated by in...China's capital market has been developing continuously in recent years, and the scale of capital market is getting larger and larger. The participation structure of China's stock market is not dominated by institutions as in European and American stock markets. A large number of investors in China participate in the buying and selling of stocks, which results in the current situation of high turnover rate of Chinese stocks. Based on Fama-French's three-factor model and the idea of quantitative investment, this paper takes turnover rate as momentum factor, dynamic price-earnings ratio as growth factor, and corporate price-to-book ratio as quality factor, and uses the sectional data of 2021 to analyze the stock price returns of more than 4,000 listed companies (including GEM, etc.) in China.展开更多
文摘China's capital market has been developing continuously in recent years, and the scale of capital market is getting larger and larger. The participation structure of China's stock market is not dominated by institutions as in European and American stock markets. A large number of investors in China participate in the buying and selling of stocks, which results in the current situation of high turnover rate of Chinese stocks. Based on Fama-French's three-factor model and the idea of quantitative investment, this paper takes turnover rate as momentum factor, dynamic price-earnings ratio as growth factor, and corporate price-to-book ratio as quality factor, and uses the sectional data of 2021 to analyze the stock price returns of more than 4,000 listed companies (including GEM, etc.) in China.
