| From the experience of foreign markets,the value factor has experienced a huge retracement in the past ten years.In recent years in China,the market has also diverged,The valuation of growth stocks is getting higher and higher,and the valuation of value stocks is getting lower and lower.Growth stocks have obvious excess returns compared with value stocks.Therefore,the value factor has aroused widespread doubts,and there are certain theoretical and practical values to improve it.In the past,the main reasons for the excess returns of value factors were investors’representative deviations and mean reversion,while the current value factors’ failure may be due to inaccurate value measurement,higher risks faced by value stocks,and poor profitability.The book-to-market value ratio(BM)has been improved so that it can better reflect the company’s value and show a positive correlation with profitability.As for the risk,it is solved by adding control variables in the regression.First,the company characteristic variables are used as independent variables to perform Fama-MacBeth regression on BM and improved BM,and the monthly factor yield and yield curve of BM and improved BM are calculated.It can be found that the improved value factor yield is farther.It is higher than the traditional value factor and has a significant retracement after 2019,while the improved value factor does not exist.According to the characteristics of the value factor yield curve,three representative time nodes of 2010,2014,and 2019 are selected and the monthly returns are adjusted to annual returns to perform cross-sectional regression to test whether the improved BM in a special period has an improvement effect.Then,according to the traditional BM and the improved BM,the constituent stocks of the Shanghai and Shenzhen 300 Index and the CSI 500 Index were back-tested to test the effectiveness of the improved BM stock selection strategy in practical applications.The improved BM was found The book to market value ratio is more effective.When discussing the benefits,the size of the risks should also be considered.High returns may be brought about by high risks.Therefore,finally,the source of the past and present value factor returns is analyzed from the perspectives of representativeness deviation,valuation mean regression and risk.First,it is found that the current representativeness deviation still exists,and the traditional value factor has retreated significantly in 2019 and 2020.It may be related to the fact that performance has not returned;second,the current risks faced by traditional value stocks have not increased;third,the valuation bubble of growth stocks has reached a historical extreme compared with value stocks,which is a pricing error,and the possibility of mean reversion in the future very large. |
