Research On The Characteristics Of China Stock Market Anomalies And Its Relatiopship With Style Drift

The stock market anomalies inveighed against classic financial theory, andpromoted the development of behavioral finance theory and the prevalence of styleinvestment. According to the causes of style investment, style drift and marketanomalies seems to have endogenous relationship: keep the consistent investmentstyle with the market anomalies, capture the excess profits which the marketanomalies bring, is the main motivation of the style investment, and also is the key tomake sure the investment strategy to success.However, Chinese style investmentpractice`s style drift and the stock market anomalies does not seem to exist theconsistency in theory: on the one hand, value premium, size premium and momentumpremium are being revealed by empirical study, market anomalies serve the systemicprofit opportunities for the style investors; On the other hand, the style of the maininvestment followers that stock funds are mismatch phenomenon in style commonly,in the style investment where occur many setbacks in practice. In this context, thesystem research on the relationship between market anomalies characteristics andfund style drift, it can use market forecast for funds, market anomalies to provide thescientific theory guidance, and also to reveal the deep reasons of fund industry whichstyles are common mismatched, to grasp the stock market rules and improve the levelof investment style which has realistic significance.This paper start from the prevalence investment behavior of China fund industry,the key point is to investigate the main body of the market stock fund style investmentbehavior and style drift, summarized practice behavioral characteristic of China stockfund style investment, and did the empirical analysis on stock fund investmentperformance;Combined with CAPM and four factor model in China A-share marketapplicability test, based on the large sample we did the validity empirical analysis onChinese stock market, and on the basis of China’s stock market,we identify the mainanomalies on stock market, theoretical and empirical analysis are discovered value,scale and momentum premium stock market of our country is the existing main abnormal phenomenon, and by using the mathematical modeling and empiricalanalysis on the main market anomalies to abstract on continuing, fluctuation and thebasic characteristics of the periodic, etc; Further, we test the relationship betweenmarket anomalies and style investment (style drift) which is the relevance,consistency and causality, and reveals the Chinese stock fund style mismatch of thecauses of phenomena from the perspective of market anomalies; Finally, based oncyclical volatility characteristics which exist in the market anomalies of our country,we put forward style rotation strategy which was based on predictability of marketanomalies, through making a simulation comparison between the style rotation andstyle consistency strategy, then puts forward the countermeasures which couldimprove style investment behavior in our stock fund.