巴克莱-中国股票行业-中国A股市场第2部分：业绩动态与收益异常-2022.5.31-26页.docx

FOCUS China A-share Market Part 2: Performance Dynamics and Return  Arik Ben Dor(v) Equity Research Quantitative Portfolio Strategy 31 May 2022 Anomalies In the second report of our three-part series dedicated to China’s A-share market, we examine the behaviour of various risk factors and anomalies previously documented for US stocks in the market. A good understanding of these dynamics would allow investors to collect factor risk premiums more efficiently, manage risk exposures, and capitalize on return opportunities from anomalies in the pricing of A-shares. We find that risk factors and anomalies exhibited different dynamics for the two markets. First, we do not find evidence of the existence of the momentum factor and January effect in the A-share market, partly because of its different investor base and tax policies. Second, for factors that generated a positive risk premium in A-shares, we find that most had low correlations with their US counterparts, suggesting diversification benefits at the factor level across the two markets. On the other hand, both markets displayed significant time variation in factor risk premiums and experienced challenging factor performances in recent periods. We find that combining factors in the A-share market can reduce the volatility resulting from the time-varying risk premium and improve the performances of both long-short and long-over-index portfolios. Since shorting individual A-shares is challenging, we also examine long-only factor portfolios and find that results hold up for all factors except low volatility, the factor performance of which is mainly driven by the short leg, similar to the US low-volatility portfolio. +1 212 526 7713 arik.bendor@ BCI, US Jingling Guan(v) + 1 212 526 3623 jingling.guan@ BCI, US Xiaming Zeng(v) +1 212 526 6782 xiaming.zeng@ BCI, US (v) This author is a registered US equity research analyst who is subject to US FINRA Rule 2241 and who may write debt research under FINRA Rule 22