In this empirical study, we combine the company size style investing with the company book-to-market ratio style investing in the form of composite style investing, and construct the arbitrage portfolios based on momentum return of composite style to illustrate the evolution process of the style rotation effect. Furthermore, according to features of style rotation in Chinese stock markets, we explain the style rotation effect from the adaptive market hypothesis, and point out that the investors will take the corresponding investing styles as the market environment changes, and these adaptive style switching behavior bring about the style rotation effect.%通过实证研究,将公司规模风格与账面市值比风格进行综合,并基于复合风格的动量收益构建了套利组合,以考察风格轮动的演化过程.进一步根据中国股市风格轮动的特点,从适应市场假说的角度,指出投资者根据市场环境变化而采取相应的投资风格,正是这种适应性的风格转换引致市场出现风格轮动效应.
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