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| Rotation Effects of Alpha Factor in Chinese Stock Market Based on Investment Clock |
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Abstract Alpha returns of stocks are usually driven by alpha factors. It’s significant to obtain alpha factors and their rotation laws under the economic cycle. This paper aims to divide China’s economic cycle and analyzes alpha factors’ rotation lows refer to Merrill Lynch Investment Clock Theory and GA-RS algorithm. Furthermore, exposure analysis, correlation analysis, and ANOVA are introduced for factor assessment. The empirical results show that factors of solvency and cash flow have most significant effects on stock returns in Recovery and Overheat. Meanwhile, solvency and operating ability are obvious in Stagflation and Recession. In Chinese stock market, Merrill Lynch Investment Clock Theory is feasible, to some degree.
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| DOI:DOI: 10.12733/20150836 |
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