| As the wind vane and barometer of the capital market,the stock market plays a vital role in the stability and development of the economic situation.The emergence of stock market anomalies challenges the traditional financial theory,which is also the direction of behavioral finance scholars.The seasonal effect of stock cross-sectional return is an important anomaly,which means that the performance of rising stocks in the same calendar month will continue to be better or worse than that of falling stocks in the same calendar month,which may last for several years.This paper studies the seasonal anomalies from the perspective of factor investment,constructs the seasonal factor index according to the average value of return in the same calendar month,an d constructs the long and short hedging portfolio strategy based on the tenth potential difference of the input winner portfolio in the full sample interval from January 2000 to April 2021,The significant negative seasonal effect in the stock market is fu rther proved by time series regression test and Fama Macbeth regression.In addition,in order to better verify the effectiveness of the indicators,this paper makes a comparative analysis on the adjustment of the year interval of constructing seasonal fac tors,and also makes a hierarchical back test on samples of different time intervals,different industries,different regions and different equity properties,so as to further explore the performance of seasonal factors in China’s A-share market.The empirical results show that:(1)There is a negative seasonal effect on the China A-share market,which is opposite to that in the developed market.In addition,the effect is enhanced in the time series of the Chinese market.(2)The annualized yield of the long short hedge portfolio constructed by seasonal factors can be as high as18.96%,and the annualized yield of the market value weighted portfolio can reach13.92%.Especially after 2015,the yield of the investment portfolio is much higher than that of the market portfolio.(3)Under the equivalent weighting,the shorter the average life is,the higher the significance of the yield is.Under the market value weighting,the significance of the average life of two years is the highest.(4)Seasonal effects exist significantly and increase significantly after the financial crisis and stock market disaster.(5)In different industries,the return rate of the portfolio constructed by equivalent weighting is significantly higher than that weighted by market value.The seasonal effects of four industries: electric heating,gas and water production and supply industry,construction industry,real estate industry and culture,sports and entertainment industry are strong.(6)Among different regions,the order of seas onal effects from strong to weak is the western region,the central region and the eastern region respectively;The seasonal effect of stock returns of non-state-owned enterprises is slightly higher than that of state-owned enterprises;The market value we ighted portfolio yield of tradable shares is better than that of the total market value weighted portfolio.To sum up,this paper tests the significance of the seasonal effect of China’s A-share market,proves the practical value of seasonal factors in the A-share market,expands the multi factor model,enriches the quantitative research factor library,improves the quantitative stock selection efficiency,and provides factor investment strategy suggestions for investors. |
