本文针对A股市场是否存在β异象及该异象在A股市场的投资应用进行了深入探索。本文首先发现β异象在“壳污染”问题的个股中不显著，同时A股存在一定程度的小市值效应，且市值因子与个股β存在较强的相关性。在剔除这些影响后，本文基于CAPM模型与Fama-French五因子模型对β异象进行了检验。结果表明，β异象在A股显著存在，高β值股票与低β值股票相比，其收益风险比更低，且剔除市值影响后该异象更加显著。基于以上探究，本文结合BAB(Betting Against Beta，基于β值构建的投资组合)因子与BABAB(Betting Against Betting Against Beta)因子构建了对市值中性的β因子组合(BAB_MV)，并通过实证分析证明了BAB_MV因子相较于其他构建方式有着更加显著的超额收益。本文基于A股的实证研究表明：（1）β异象同样也存在于A股市场，但在最小30%市值的股票中并不显著。在剔除这些股票后，从低β组股票到高β组股票，其风险调整后收益呈单调递减趋势；（2）结合基于β异象所构建的BAB因子与BABAB因子，本文新构建的市值中性β因子在A股有着更显著的超额收益，该因子的收益不能完全被CAPM模型与五因子模型所解释；（3）基于市场波动率大小划分时间窗口进行稳健性检验，结果表明，在市场低波动时间窗口期间内β异象类因子的显著性更强，在市场平稳运行及市场高波动时间窗口期间内，β异象类因子不能产生显著的超额收益。 本文的实证结果一方面证明了β异象在A股显著，且主要收益来源时间窗口为市场处于低波动区间，另一方面本文研究对在A股研究β异象及其资产组合的构建提供了新思路，所构建的资产组合对投资实践中的风险管理有着较大的参考意义。

This paper probes into the existence of beta anomaly in A-share market and its investment application in A-share market. In this paper, we first find that β anomaly is not significant in “small-cap” stocks, and the existence of a certain degree of small market value effect. We also find a strong correlation between market value factor and individual stock β. After removing these influences, we tested the β anomaly based on CAPM model and Fama-French five-factor model. The results show that β anomaly exists significantly in A-share market, and the return to risk ratio of high β value stocks is lower than that of low β value stocks, and the anomaly is more significant after excluding the effect of market value.Based on the above exploration, this paper combines BAB(Betting Against Beta) factor and BABAB(Betting Against Betting Against Beta) factor to construct a market capitalization neutral β factor portfolio (BAB_MV). And the empirical analysis proves that BAB_MV factor has more significant excess returns compared with other construction methods. The empirical research based on A shares in this paper shows that :(1) β anomaly also exists in A share market, but it is not significant in “small-cap” stocks. After removing these stocks, the risk-adjusted returns show a monotonically decreasing trend from low β group to high β group. (2) Combined with the BAB factor and BABAB factor constructed based on the β anomaly, the newly constructed market cap neutral β factor in this paper has a more significant excess return in A shares, and the return of this factor cannot be fully explained by CAPM model and five-factor model; (3) Based on the time window of market volatility, the robustness test is carried out. The results show that the β -anomalous factor has a stronger significance in the time window of low market volatility.Empirical results on the one hand, this paper shows the significant beta vision in the A shares, and the main source of income time window for the market in A low range, on the other hand, this paper studies on the a-share market research beta vision and portfolio construction provides A new way of thinking, build the portfolio of investment risk management has great reference significance in practice.