This paper investigates the small-cap
value rotation investment strategy. This paper analyzes the rationality and
applicability of small-market rotation strategy from two aspects: theoretical
analysis and practical test. This paper first sorts out and expounds the
theoretical basis of small-cap rotation investment strategy. Subsequently, the
details of the strategy are introduced in additional with some notice that the
investor should pay attention to. Besides, its returns and applicability are
examined, which is based on the real data from Chinese stock market. The
results indicate that the small-cap value rotation investment strategy remains
viable in today's Chinese stock market, but its applicability exhibits certain
cyclical variations. Therefore, when adopting such an investment strategy,
careful consideration of its specific applicability is necessary.
JEL classification numbers: G11, G14, G24.
Keywords: Size Effect,
Small-Cap, Investment Strategy.