港股财务数据处理六问及因子复现手册

• The report focuses on constructing and testing fundamental and price-volume factors for the Hong Kong stock market, addressing key issues in financial data processing such as code reuse, standardized reporting, and data alignment[5][8][15] - Fundamental factors cover eight dimensions including market capitalization, growth, value, profitability, dividend, operational efficiency, debt-paying ability, and earnings quality, with a total of 111 indicators[8][37] - Price-volume factors include momentum reversal, liquidity, turnover rate, volatility, and technical indicators, comprising 150 indicators[9][77] - The report uses two stock pools: Hong Kong Stock Connect and the entire Hong Kong stock market excluding penny stocks, with monthly rebalancing and market capitalization industry neutralization[12][13][37] - Dividend yield (TTM) and return on equity (ROE) are highlighted as strong fundamental factors, while long-term momentum and volatility factors are identified as effective price-volume factors[62][91][107] - The Hong Kong stock market demonstrates a preference for low valuation and high dividend stocks, with institutional investors dominating and a T+0 trading system without price limits[5][8][106] - The report concludes that fundamental and price-volume factors perform better in the broader Hong Kong stock pool excluding penny stocks, achieving higher excess returns compared to the Hong Kong Stock Connect pool[107]