Trend Factor in China: The Role of Large Individual Trading
研究为中国股市构建了一个结合价格和成交量的新趋势因子，发现成交量在中国趋势因子中的作用比美国更显著，反映了更高的散户参与度。该因子加入三因子模型后能解释60种代表性异象，凸显个人交易在资产定价中的重要性。
Abstract We propose a novel trend factor for the Chinese stock market that incorporates both price and volume information to capture dominant individual trading, momentum, and liquidity. We find that volume plays a more significant role in the trend factor for China than for the United States, reflecting the greater retail participation in China. By incorporating this trend factor into the 3-factor model of Liu et al. (2019), we propose a 4-factor model that explains a wide range of stylized facts and 60 representative anomalies. Our study highlights the important role of individual trading in asset pricing, especially in China.