abstract: 本文从证券市场中的信息传导，异质交易者行为以及金融科技三个方面，对于证券市场中异象因子的部分成因进行文献综述；进而，本文的实证工作结合最新文献中主流的股票横截面异象构造方法，借助东亚证券市场内相关量价信息进行摩擦因子和动量因子的构造，对于各个市场进行相关异象验证和横截面套利策略分析，为相关的学术研究和实务操作提供参考。
关键词: 动量因子，东亚证券市场，套利策略 / Dissertation/Thesis / Doctoral Dissertation Business Administration 2020
| Identifer | oai:union.ndltd.org:asu.edu/item:56996 |
| Date | January 2020 |
| Contributors | He, Yizhou (Author), Pei, Ker-Wei (Advisor), Zhu, Ning (Advisor), Li, Feng (Committee member), Arizona State University (Publisher) |
| Source Sets | Arizona State University |
| Language | Chinese |
| Detected Language | Unknown |
| Type | Doctoral Dissertation |
| Format | 107 pages |
| Rights | http://rightsstatements.org/vocab/InC/1.0/ |
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