Factor Investing Lecture 6: Common Factors in China (Presentation Slides)
Shi (2025) studies factor investing in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“This lecture covers the essential data sources, including price, volume, and financial statement data, and explain practical issues such as price adjustment, handling missing values, and the treatment of untradable stocks.”
AssetEquitiessingle stocks
StrategyFactor investingmomentum
GeographyChina
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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