文献资料

1. Liu, J., Stambaugh, R. F., & Yuan, Y. (2019). Size and value in China. Journal of Financial Economics, 134(1), 48-69.（下载）
2. Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68.（下载）
3. Leippold, M., Wang, Q., & Zhou, W. (2021). Machine learning in the Chinese stock market. Journal of Financial Economics.（下载，附件）
4. 李斌, 邵新月, & 李玥阳. (2019). 机器学习驱动的基本面量化投资研究. 中国工业经济, (8), 61-79.（下载，附件）
5. 清华大学五道口金融学院民生财富管理研究中心. (2018). 中国A股市场量化因子白皮书.（下载）
6. Chihiro Quantitative Research. (2019). A股财务数据的整理和使用.（下载）

规模因子

1. Alquist, Ron and Israel, Ronen and Moskowitz, Tobias J. and Moskowitz, Tobias J., Fact, Fiction, and the Size Effect (May 12, 2018). (下载)
2. Dong-Hyun Ahn, Byoung-Kyu Min, Bohyun Yoon, (2019). Why has the size effect disappeared? Journal of Banking & Finance, Volume 102, 256-276. (下载)
3. Qadan, M., & Aharon, D. Y. (2019). Can investor sentiment predict the size premium?. International Review of Financial Analysis, 63, 10-26. (下载)
4. Hou, K., & Van Dijk, M. A. (2019). Resurrecting the size effect: Firm size, profitability shocks, and expected stock returns. The Review of Financial Studies, 32(7), 2850-2889. (下载)
5. 王鹤菲,陈浩 & 邱志刚.(2019).中国A股壳资源与小市值效应——基于资产重组视角. 财经科学(11),12-24. (下载)