摘要
中国A股市场的投资策略研究—基于低风险异常理论
摘要：传统的金融理论认为:高风险意味着高收益。这主要是由于资本资产
定价模型（CAPM）简洁而优美地刻画了在市场处于均衡状态下时风险资产的期望
收益率和市场风险之间的正向的线性相关关系。许多投资者也是基于此会更倾向
于投资风险更大的资产然后期望其能带来丰厚的预期回报。但是近几年来，有研
究学者通过对美国，澳大利亚以及日本等国的金融市场中调查研究发现：那些拥
有更低 Beta值的资产其长期收益往往高于那些 Beta值较高的。也就是说，投资
者对低 Beta值的资产进行投资所产生的收益会高于那些追逐高 Beta的投资者，
这种现象就被学者描述为“低风险异常现象”。
对于该异常现象出现的原因，国内外学者们虽然从不同角度出发提出了许多
解释，但是总的说来都是围绕着传统金融理论的前提假设太过苛刻，在现实中基
本不可能完全满足作为出发点进行研究的。但是对于如何选取影响因素，并将之
用于实际投资当中获取超额回报，本文进行了比较细致的研究。通过选取中国A
股市场股票（剔除科创板）数据，引入贝塔风险因子以及价值，动量，行为因子
构造低风险投资策略，然后通过实证检验我国A股市场是否存在低风险异象，以
及随着其他与该策略相关因素的引入对其产生的影响构造合适的投资策略。基于
此，本文主要是研究了两个问题：第一，中国的A股市场是否存在低风险异常现
象。第二，如果存在，那么应该如何构造投资策略帮助投资者获取到超额收益。
因此，本文首先对中国A股市场是否存在低风险异象进行了验证研究，然后通过
构造两大低风险投资策略进行实证以及后续的回测研究。
研究结果表明:首先，中国A股市场确实存在低风险异常现象而且两大低风
险投资策略在有条件和无条件下其超额收益表现均出现了显著的变化，其次，在
综合考虑持有期和形成期后，从超额收益率角度来看，分组对冲投资策略在时间
组合=（12,6）时，即当投资者采用分组对冲投资策略而且根据T=12的形成期计
算 Beta然后买入并且持有6个月时，其能获取到的超额月度回报是最高的为
0.66%；当 Beta中性策略在时间组合=（24,12）时，即当投资者采用 Beta中性
策略而且根据T=24的形成期计算 Beta然后买入并且持有12个月时，其能获取
到的超额月度回报是最高的为1.47%。最后，本文用2020-2021年的数据进行了
回测。回测结果表明当投资者选择用 Beta中性策略在最佳的时间组合进行投资
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摘要
时，其能产生的累积收益是最高的。而且从诸如年化收益，最大回撤和夏普比率
等评价指标来看其也是最优的投资策略，这也与本文最终的实证结果是相符合
的。
关键词：低风险异常；投资策略；滚动时间窗；时间组合
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Abstract
Research on Investment Strategies of China's
A-Share Market—Based on Low-risk Abnormal
Theory
Tao Pan
Finance
Directed by JiangCheng Li
Abstract: Traditional financial theory believes that: high risk means high return.
This is mainly because the Capital Asset Pricing Model (CAPM) succinctly and
beautifully portrays the positive linear correlation between the expected rate of return
of risky assets and market risk when the market is in equilibrium. Many investors are
also more inclined to invest in riskier assets based on this and expect them to bring
substantial expected returns. However, in recent years, some researchers have
investigated the financial markets of the United States, Australia, Japan and other
countries and found that the long-term return of assets with lower beta values is often
higher than those with higher beta values. In other words, investors who invest in
assets with low Beta value will generate higher returns than those investors chasing
high Beta value. This phenomenon is described by scholars as a "low-risk anomaly."
Although scholars at home and abroad have put forward many explanations for
the reasons for this abnormal phenomenon, they are generally based on the premises
of traditional financial theories. The assumptions are too harsh, and it is basically
impossible to fully satisfy the behavior in reality. The starting point for research. But
as to how to select influencing factors and use them in actual investment to obtain
excess returns, this article conducts a more detailed study. By selecting the data of
China's A-share market (excluding the Science and Technology Innovation Board),
the beta risk factor and value, momentum, and behavior factors are introduced to
construct a low-risk investment strategy, and then empirically test whether there is a
low-risk anomaly in my country's A-share market. The introduction of other factors
related to the strategy will influence it to construct a suitable investment strategy. The
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