财务信息在投资策略中的应用——基于股票规模效应与价值效应

发布时间：2018-03-15 01:27

本文选题：规模因子　切入点：价值因子　出处：《财会通讯》2017年17期 　论文类型：期刊论文

【摘要】：本文在规模效应和价值效应股票投资策略下根据财务信息选择股票,同时比较分析不同策略下超额收益的差异。根据历史财务信息,优选股票,构建投资策略,买入规模效应样本和价值效应样本股票中财务信息较好的股票,计算持仓股票收益率、样本股票收益率和全部股票收益率,分析这种策略所带来的超额收益。研究发现:通过财务信息筛选股票可以获取超越规模效应样本和价值效应样本的超额收益。中国股票市场的规模因子的影响非常显著,价值因子的影响较为显著。在中国的股票市场坚持价值投资,关注上市公司的财务信息和经营业绩仍然可以获取较高的收益。
[Abstract]:This paper selects stocks according to financial information under the investment strategies of scale effect and value effect, and compares and analyzes the differences of excess returns under different strategies. According to the historical financial information, we select stocks and construct investment strategies. Buy the stocks with better financial information in the scale effect sample and the value effect sample stock, calculate the return rate of the holding stock, the return rate of the sample stock and the rate of return of the whole stock, By analyzing the excess returns brought about by this strategy, the study finds that the excess returns beyond the scale effect samples and the value effect samples can be obtained through the financial information screening. The impact of the scale factor on the Chinese stock market is very significant. The impact of value factors is more significant. In China's stock market, value investment, attention to the financial information and operating performance of listed companies can still achieve higher returns.
【作者单位】：中山市广播电视大学;
【分类号】：F832.51

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