基于FF因子模型的A股行业板块轮动主导因子分析与检验

Analysis and Test of A Share Industry Plate Rotation Leading Factor Based on FF Factor Model

利用Fama-French系列因子模型,对2016—2020年A股26个行业板块的2288个投资组合进行实证分析,检验影响板块轮动的主导因子.结果表明,各行业板块对不同因子模型有不同的适用性,解释力具有一定的差异性,即不同的A股行业板块存在不同的主导性因子,相同的主导因子行业板块,其解释力存在差异.其中,有19个和21个行业板块分别存在正向的规模因子效应和反转的价值因子效应;在盈利因子与风格因子方面,有8个和9个行业板块的超额收益率分别适合被FF-4和FF-5模型解释;在12个和15个行业板块超额收益率中,规模因子和价值因子起主导解释作用.该研究结论可为进一步从主导因子角度研究和解释板块轮动动力机制等问题提供支撑.

In this paper,the Fama-French series factor model is used to conduct empirical analysis on 2,288 portfolios of 26 A-share industry sectors from 2016 to 2020,so as to discover and test the leading factors affecting sector rotation.The results show that each industry has different applicability to different factor models and different explanatory power.That is,different A-share industry sectors have different leading factors,and the explanatory power of the same leading factor industry sectors is different.There are 19 and 21 industries with positive size factor effect and reverse value factor effect,respectively.In terms of profit factor and style factor,only 8 and 9 industry sectors’excess return rate can be explained by FF-4 and FF-5 models.The size factor and value factor play a leading role in explaining the excess return of 12 and 15 industry groups.The results provide support for further research and interpretation of sector wheel dynamics from the perspective of dominant factors.