IDEAS home Printed from https://ideas.repec.org/a/wly/intsec/v19y2024i4p532-577.html
   My bibliography  Save this article

Factor timing in the Chinese stock market

Author

Listed:
  • Yuxiao Wu

Abstract

I conduct an exploratory study about the feasibility of factor timing in the Chinese stock market, covering 24 representative and well‐identified risk factors in 10 categories from the literature. The long–short portfolio of short‐term reversal exhibits strong out‐of‐sample predictability, which is robust across various models and all types of predictors. This predictability is significant both statistically and economically, with a simple investment strategy obtaining its return three times higher than the buy‐and‐hold return in the sample period and a significant annualized 20.4% CH‐3 alpha. Portfolio historical volatility and market volatility measurement predictors play crucial roles in the reversal factor premium's robust predictability. However, such results are not evident in predicting all other factors' long–short portfolios as well as all factors' long‐wing and short‐wing portfolios, and this failure cannot be attributed to their exposure to unpredictable market returns.

Suggested Citation

  • Yuxiao Wu, 2024. "Factor timing in the Chinese stock market," International Studies of Economics, John Wiley & Sons, vol. 19(4), pages 532-577, December.
    • Handle: RePEc:wly:intsec:v:19:y:2024:i:4:p:532-577
    DOI: 10.1002/ise3.86
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/ise3.86
    Download Restriction: no
    File URL: https://libkey.io/10.1002/ise3.86?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:intsec:v:19:y:2024:i:4:p:532-577. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.