| In recent years,the Smart Beta strategy has received extensive attention from the theoretical community and has been increasingly applied in the field of practice.Numerous investment products with the concept of smart investment have appeared in the capital markets of various countries.China's smart investment products started late but developed rapidly.The early Smart Beta investment products mostly used single-factor strategies.Common singlefactor strategies include value strategies,growth strategies,momentum strategies and dividend strategies.In recent years,in response to market trends and investment hotspots in our country,some institutions have launched "dividend + low volatility" bear market defense strategies,multi-factor + industry-leading strategies,and technology innovation strategies focusing on R & D investment factors.Smart Beta investment products in the market show increasingly differentiated characteristics,providing investors with a richer choice of investment products.With the rapid development of China's capital market,Smart Beta investment has extremely broad development prospects in China.On the other hand,compared with developed countries,China's capital market started late and its development is still immature.The company's asset securitization level is not high,and the investment targets of Chinese investors are severely limited.At the same time,the dominance of Chinese individual investors in China's stock market transactions has caused China's stock market to show volatile and speculative characteristics.Market data shows that,compared with investors in the US capital market,Chinese investors prefer investment targets with greater volatility and higher risk.This is inconsistent with the rational investor assumption in classical economic theory.Therefore,effective investment strategies in developed capital markets such as the United Kingdom and the United States may not be in line with the current status of China's capital market development.There is an urgent need to introduce new theories and methods to optimize and improve existing investment strategies to adapt to the development characteristics of China's capital market in order to provide Chinese investors with better investment options.Since the 1980 s,some scholars have introduced theories and methods of psychology and behavioral science into financial research,thus forming a new theoretical branch of finance—behavioral finance.Behavioral finance theory believes that investors' decision-making processes are biased.For example,people have a tendency to be optimistic or conservative in the process of judging vague market information,and they have shown excessive attention and response to certain and occasional practices.These characteristics of investors make their preferences and utility no longer clear and stable,making it difficult to make rational decisions based on expected utility.At the same time,behavioral finance theory changes the assumption of investor homogeneity,that is,due to differences in information,cognition,preferences,etc.,investors have different valuations of the same securities,and there are heterogeneous investors in the market that will lead to the change of securities price,to a certain extent,explain the phenomenon of investor over-trading and abnormal fluctuations in securities prices.The rapid development of behavioral finance theory provides a new theoretical perspective and research methods for modern financial research,and also provides a new theoretical basis for the formulation of market investment strategies.In recent years,more and more asset management institutions have incorporated factors such as momentum factors and volatility factors that reflect investor behavior characteristics into their investment strategies.These products have enriched investors' investment choices to a certain extent,but they have not shown a significant level of return over other products.The performance of some products is not only lower than the average value of similar funds,but even lower than the average return of CSI 300 during the same period.Momentum strategy and low-volatility strategy have achieved great success in developed capital markets,but in China's capital market it seems to be "unconvinced." Simply introducing investor behavior factors into smart investment strategies cannot adapt to the specific environment of China's capital market.At the same time,other factors such as market trends and stock characteristics need to be considered.Most of the existing theoretical studies and practical applications discuss investor behavior factors as separate impact factors,while ignoring the interaction between investor behavior factors and other style factors.At the same time,in the current research and application of investment strategies,investor behavioral factors have not been accurately measured,which makes it difficult to accurately characterize investors' behaviors and incorporate them into the investment strategy framework.This article attempts to make up for the above shortcomings,and explores the methods and paths to optimize investment strategies by controlling the influence of investor behavior factors.To this end,based on the perspective of behavioral finance theory,this paper examines the impact of behavioral characteristics such as investor overconfidence,heterogeneous beliefs and loss aversion on the performance of traditional risk factor investment strategies such as momentum factors,volatility factors,and value factors.Chapter 2 reviews the literature on the theoretical basis of smart investment,the investment logic of factor investment strategies,the theory and methods of behavioral finance,and the theory and methods of modern portfolios.Through literature review,it is found that the theoretical research of classic financial theory has established a theoretical framework for investors to understand the operation mechanism of the capital market,construct investment strategies,and tried to explain market anomalies by relaxing certain overly strict assumptions to help investors optimize their investments Strategy.It began to introduce the concepts of "irrational investor","noise investor","information advantage investor",explored the operation law of the capital market under the assumption of imperfect rationality,and focused on the "arbitrage" in realizing the effectiveness of securities prices play an important role in the process.This constitutes the theoretical basis for Smart Beta investment strategies.However,no fundamental description is given of the mechanism and conditions of use of these key factors.Therefore,investment strategies based on these models are limited by the environment and implementation,and it is difficult to form flexible and widely applicable strategy models.On the contrary,the rapid development of modern behavioral science and behavioral finance theory has provided new theoretical perspectives and research methods for capital market research.Behavioral finance theory is no longer entangled with the assumption of investor rationality or not.Instead,it takes investor behavior characteristics directly as research objects,explores the formation mechanism of investor behavior characteristics through theoretical model research,and tests it through experiments and empirical studies.Behavioral finance theory provides a more detailed description of investors,and explains various phenomena in the capital market based on this.Such research ideas provide a richer theoretical reference for the formulation of investment strategies,and thus point the way to the construction of modern Smart Beta investment strategy models.However,few scholars have combined the study of investor behavior factors with the study of investment strategies,and deeply explored the dynamic mechanism of behavior factors and investment strategies.No research has been proposed based on investor behavior theory to have stronger adaptability and dynamic adjustment.Capability investment strategy model.The research on existing investment strategy models has discussed in depth the calculation methods of multi-stage dynamic investment strategy models,and can timely adjust investment portfolios based on dynamic data analysis.The construction of these dynamic strategy models provides a reference for Smart Beta investment strategies.Chapter 3 examines the impact of investor behavior factors on momentum effects.The study found that there is a short-term momentum effect in the Chinese stock market.Investors' heterogeneous beliefs and overconfidence exacerbated momentum effects and prolonged their duration.The disposition effect has a suppressive effect on the magnitude of the momentum effect.However,no evidence has been found in this paper for the effect of disposal effects on the duration of momentum effects.Therefore,when constructing a Smart Beta investment strategy,more attention needs to be paid to the analysis and description of investors' heterogeneous belief factors and their effects in order to provide support for the construction and optimization of momentum strategies.Chapter 4 of explores the impact of investor behavior factors on low volatility anomalies.The study found that China's stock market has significant low volatility anomalies.Investors' strong heterogeneous beliefs increase the returns of low-volatility portfolios and increase the losses of high-volatility portfolios.Therefore,investors' heterogeneous beliefs improve the returns of low-volatility investment strategies.In addition,only if investors have a high degree of heterogeneous beliefs can low-volatility strategies show robust positive excess returns in the long run.The results of regression analysis also show that investor heterogeneous beliefs have a positive impact on the duration of low-volatility visions.The effect of investor overconfidence on portfolios with different levels of volatility is asymmetric.The impact of overconfidence on low-volatility portfolios is not significant,but has a negative impact on high-volatility portfolios.Therefore,a high level of overconfidence improves the returns of low-volatility investment strategies.Investors' overconfidence has a significant impact on the difference in returns of lowvolatility strategies in different market trends.Investors' overconfidence has significantly increased the difference in returns between low and medium volatility strategies in bull and bear markets.The effect of investors' disposal effects on the returns of low-volatility investment strategies is unclear.However,the strong disposal effect and the weak disposal effect have a positive impact on the returns of high-volatility portfolios,while the disposal effect has a significant negative impact on the duration of the low-volatility vision.Therefore,when constructing a volatility strategy model,it is necessary to consider the influence of investor behavior characteristics and design a low-volatility investment strategy with dynamic adjustment capabilities.Chapter 5 discusses the impact of investor behavior factors on the value premium effect.The study found that China's stock market has a significant premium effect,but it is affected by investor behavior factors.Investors' heterogeneous beliefs have a positive impact on value strategy returns and their duration.Investors' overconfidence has a positive impact on the return of value strategies,and its impact is more significant in the medium and long term.And this effect is mainly achieved by influencing the growth portfolio.An empirical analysis of the duration of strategic returns also shows that overconfidence has a significant positive impact on the value premium effect.Investors' disposal effects limit the benefits of the value strategy and extend the duration of the value premium effect.In the case of immature development of the Chinese capital market and the obvious irrational characteristics of investors,it is more necessary to incorporate investor behavior factors into the design framework of value investment strategies.Chapter 6 optimizes the existing Smart Beta investment strategy construction method from the perspective of investor behavior,constructs Smart Beta investment strategies adjusted by investor behavior factors,and conducts backtesting.The analysis shows that the smart investment strategy constructed in this paper shows good profitability.The multi-factor comprehensive scoring stock selection strategy has a cumulative yield of 438.56% during the backtest period,and has a high Sharpe ratio and Sotino ratio.The distribution strategy based on factor weights after single-factor stock selection also achieved a cumulative return of 86.09% during the backtest period,which is significantly higher than the average market level at the same time.However,its Sharpe ratio and Sotino ratio are relatively low.At the same time,different investment strategies perform differently in different market environments.The returns of the factor comprehensive scoring stock selection strategy are relatively stable and are less affected by market changes,but the performance of returns in the fast bull market is lower than the market average.The distribution strategy based on factor weights after single-factor stock selection is significantly affected by market trends,and has achieved a very good level of returns in the fast bull market.Chapter 7 summarizes the research results of this article,summarizes the limitations of the research,and looks forward to future research based on this.Based on the development status and characteristics of China's capital market,this article discusses the impact of investor behavior factors on the performance of traditional factor investment strategies from the perspective of behavioral finance theory,and constructs a multifactor Smart Beta investment strategy adjusted by investor behavior factors and backtest.This article has important theoretical value and practical reference significance for the theoretical research of China's investment strategy and the practice of capital market investment.On the one hand,this article introduces the perspective of behavioral finance theory into the study of Smart Beta investment strategies,and expands the content and framework of the current research on factor investment strategies.Most existing research in the investment field focuses on analyzing and discovering risk factors that affect the performance of portfolios,and pursuing data analysis to construct investment risk factors and portfolio strategy composition methods that exceed market averages.However,such a research method ignores the heterogeneity and time-varying characteristics of the market itself and the characteristics of investors as market actors,which makes its investment strategies difficult to adapt to different market environments.The research in this article is no longer entangled in selecting the "optimal" risk factor strategy,but focuses on making the investment strategy model possess the ability to intelligently optimize and adjust according to market environment and subject behavior characteristics,thereby distinguishing it from the theory of traditional investment strategy research Ideas.At the same time,the existing multi-factor strategy research focuses on the degree of risk exposure of various types of factors and the calculation methods of decision models,but has not yet thoroughly discussed the mechanism of various types of factors and the reasons for changes in exposure levels.Based on behavioral finance theory,this paper explores the incentives and paths of commonly used risk factors affected by investor behavioral factors through theoretical analysis and empirical research,and provides a useful supplement to existing investment theories.On the other hand,the research in this paper has important reference significance for the investment practice of China's capital market.Based on the development status and characteristics of China's capital market,this paper describes and characterizes the behavior of investors as transaction subjects,and analyzes the necessity and feasible path of introducing investor behavior factors in the construction of investment strategies.Through the research in this article,we can further understand the reasons for the failure of many investment strategies in China,which are commonly used in European and American capital markets,and further explore the idea of building a smart investment strategy that fits the characteristics of the Chinese investment market.In addition,the research in this article not only explores the limitations of traditional factor strategies,but also gives specific methodologies to optimize investment strategies and improve strategy flexibility and adaptability.The research in this article helps regulators and investors more accurately understand the operating characteristics of China's capital market,and thus provides useful references for the formulation of regulatory policies,investor education and guidance,and the formulation of investor investment strategies.Based on the specific characteristics of China's capital market and the specific time in the field of Smart Beta investment,this article uses new theoretical perspectives and empirical methods to discuss and study Smart Beta investment strategies from the perspective of investor behavior.The innovation of this article is mainly manifested in the following aspects:First,this article introduces the theoretical perspective of behavioral finance into the research framework of smart investment,and uses new theoretical tools to analyze and explain the reasons for the differences in the performance of factor investment strategies under different market environments and investor behavior characteristics.This article uses the framework of behavioral finance theory to further describe and characterize investor behavior in China's capital market,and analyzes its impact mechanism and path to factor strategies,thereby breaking the limitations of traditional factor strategy research in terms of research content and research framework,no longer confined to the identification and selection of risk factors,but to seek ways to adjust investment strategies based on investor behavior factors,which lays a theoretical foundation for subsequent research.Second,the existing researches mostly focus on the choice of investment strategy and the test of its performance.At the same time,this article pays attention to the investor behavior factors and their mechanisms that affect the performance of investment strategies,thereby broadening the perspective and framework of investment strategy research.In addition,this article not only pays attention to the impact of investor behavior factors on investment performance,but also analyzes the interaction between investor behavior factors and traditional risk factors,so as to discover and verify the limitations of traditional factor investment strategies and their causes.Third,unlike previous research and practice,this article does not directly incorporate investor behavior factors into factor investment strategies,but instead introduces them as adjustment factors for other factors into strategy models.The theoretical root of this practice is that it has changed the assumptions of investors' rationality and efficient markets in traditional research,so as to seek to build a Smart Beta investment strategy that adapts to specific market scenarios and can be adjusted in a timely manner.It has innovative methods and ideas for investment strategy construction.Fourth,this paper uses new indicators and methods to describe and verify the theoretical analysis and assumptions of this paper.Based on the existing research and the current popular factor investment strategy,this paper constructs an investment model,which makes the research closer to the reality of the capital market.On this basis,in addition to using a two-dimensional classification method to verify the impact of investor behavior factors on factor strategies,this paper also uses the Tobit model to explore the effect of investor behavior factors on the duration of strategic returns.In the process of constructing a smart investment model,this article changed the traditional IC-IR weighting method,and adjusted the original weights by regression analysis to introduce investor factors into the factor strategy model.This provides new ideas for related empirical research and factor investment strategy design. |
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