基于高送转的投资策略设计

发布时间：2018-06-01 03:04

本文选题：高送转 + logit回归　；参考：《中南财经政法大学》2017年硕士论文

【摘要】：在A股市场中,投资者往往将上市公司实行送股、转增股的股利政策视为利好,“高送转”的股票尤其受到广大投资者的亲睐。然而从会计的角度来看,无论是送红股亦或是资本公积转增股本,都只是上市公司对所有者权益科目进行的内部调整,既不对资产方和负债方造成影响,也不增加股东的财富,所以公司的价值并不受到高送转这一行为的影响。然而现实中,我国投资者的非理性特征十分明显,“高送转概念炒作”的观点甚嚣尘上。本文将研究高送转股票的特征,基于这些特征筛选出具有投资价值的股票构建投资组合,再结合科学的投资手段,以期获得稳定的超额收益。“高送转”炒作一般分为三个阶段,即“高送转预期”阶段,“抢权”阶段和“填权”阶段,本文的策略设计将着重考虑第一和第三个阶段。针对“预期”阶段,本文从公司有能力“高送转”和有动机“高送转”两个维度来筛选具有高送转潜力的股票,其中用基准因子(每股资本公积和每股未分配利润)以及成长性因子(EPS、每股营业收入、每股净资产和每股现金流)作为衡量公司有能力高送转的标准,选用股本、股价、上市时间长短、是否有解禁股以及基金持股等因子作为公司有意愿高送转的测量手段。运用插入统计法确定了基准因子、股本、股价、上市时间长短以及每股现金流等5大因子能用于预测高送转的股票,同时统计结果证明了11月和12月是高送转预期炒作阶段最佳的操作时间段。然后基于这5大因子利用logit回归模型预测每只股票高送转的概率,选取概率最高的20只股票构成一个组合,本文选取了2011年至2015年的全样本数据进行样本内的测试。对于填权阶段,使用事件分析法研究“高送转”股票在实施方案前后的市场反应,结果显示滞涨的高送转股票在除权除息日后20个交易日有显著的超额收益。基于以上大数据的分析,针对不同的炒作时间段,设计出了两套包含选股以及持仓的投资策略。最后用2012年至2016年的数据对该套投资策略进行了样本外测试并取得了不错的超额收益。本文设计的整套“高送转”投资策略对投资者具有一定的参考作用。
[Abstract]:In the A-share market, investors tend to take the dividend policy of the listed company as a positive policy, and the stocks with a "high transmission" are especially favored by the majority of investors. However, from an accounting point of view, whether it is a bonus stock or a capital stock transfer, it is only an internal adjustment of the owner's equity account by a listed company. It does not affect the asset side and the liability side, nor does it increase the wealth of the shareholders. So the value of the company is not affected by the high transfer behavior. However, in reality, the irrational characteristics of Chinese investors are very obvious. In this paper, we will study the characteristics of high-transfer stocks. Based on these characteristics, we will screen out the investment portfolio of stocks with investment value, and then combine scientific investment means in order to obtain stable excess returns. The hype of "high sending to turn" is generally divided into three stages, namely, "high sending to expect", "grabbing power" and "filling right". The strategy design of this paper will focus on the first and third stages. In view of the "expected" stage, this paper selects the stocks with high turnover potential from the two dimensions of "high turnover" and "high turnover" of motivation. The benchmark factors (capital reserves per share and undistributed profits per share) and the growth factor EPSs, operating income per share, net assets per share and cash flow per share) are used as the criteria for measuring the ability of the company to make a high turnover. The length of the listing, whether there are such factors as the release of stocks and fund holdings as a measure of the company's willingness to send high. By means of insertion statistics, five factors, such as benchmark factor, equity, stock price, length of listing time and cash flow per share, can be used to predict the high turnover of stocks. At the same time, the statistical results show that November and December are the best operating time period in the expected speculation stage. Then, based on these five factors, the probability of high turnover of each stock is predicted by using logit regression model, and 20 stocks with the highest probability are selected to form a combination. In this paper, the total sample data from 2011 to 2015 are selected to carry out the test in the sample. For the filling stage, the market reaction before and after the implementation of the scheme is studied by the event analysis method. The results show that the stagflation high transmission stock has a remarkable excess return after 20 trading days after the dividend date. Based on the analysis of big data above, two investment strategies including stock selection and holding positions are designed for different speculation periods. In the end, the investment strategy was tested out of the sample using data from 2012 to 2016 and achieved a good excess return. The whole investment strategy designed in this paper has certain reference function to investors.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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