Investor Factors in the Chinese A-Share Market

Evidence from a Principal Component Analysis of Institutional Holdings

DOI

10.2991/978-94-6239-830-6_11How to use a DOI?

Keywords

Investor factors; China A-share market; institutional investors; asset pricing; sentiment; ownership structure; principal component analysis

Abstract

This paper investigates investor factors in the Chinese A-share market from July 2003 to December 2025. Using principal component analysis on 10 candidate factors, we find that the first three components explain 78.9% of the total variance (PC1: 39.8%, PC2: 22.8%, PC3: 16.3%). The constructed investor factor (SophMinusOther) yields a mean monthly return of 0.03% (t = 0.14), and an FF5 + UMD alpha of 0.20% (t = 1.03). Cross-sectional analysis reveals a significant sentiment-induced channel: in the lowest sentiment quartile, the investor factor produces a CAPM alpha of 0.60% (t = 1.94), while no significant alpha is observed in other regimes. Spanning regressions show that the investor factor has strong profitability and momentum exposures but is distinct from traditional factor benchmarks.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Junjian Liu
PY  - 2026
DA  - 2026/11/14
TI  - Investor Factors in the Chinese A-Share Market
BT  - Proceedings of the 6th International Conference on Internet Finance and Digital Economy (ICIFDE 2026)
PB  - Atlantis Press
SP  - 124
EP  - 142
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-830-6_11
DO  - 10.2991/978-94-6239-830-6_11
ID  - Liu2026
ER  -