【摘要】 风格轮动现象通常是指在股票市场中,针对股票组合而言,当某一种风格的股票组合表现强势时,与其相对立风格的股票组合往往表现弱势。本文首先通过SIZE因子分组法研究指出我国A股市场大盘股和小盘股风格轮动和风格对立现象较为普遍,进而基于股利贴现模型对这一现象进行了理论解释,指出资金成本、风险溢价和业绩增速这三个因子的周期性变化是导致风格轮动的根本原因。文章最后建议投资者和市场监管者都应当注意风格轮动现象,密切关注宏观经济因子的变化。更多还原

【Abstract】 In this paper, we make a study of the style rotation phenomenon in the A-share market, and further give the theoretical explanation about the formation mechanism of the style rotation based on the dividend discount model. We find that the style rotation is a general phenomenon in the A-share market;the cyclical changes of the pricing factors such as capital cost, risk premium and performance growth rate are the fundamental causes for the formation of the style rotation. The conclusions of this paper have a high reference value for style investment, and the theoretical explanation of the formation mechanism of the style rotation fills the blank of the related academic field to a certain extent.更多还原