上市公司财务状况与股票收益关联性分析

发布时间：2018-03-11 18:31

本文选题：因子贡献度　切入点：因子偏离度　出处：《首都经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：从长期来看，上市公司的财务状况与股票收益率一定是存在某种联系的，具有高成长性的公司一定会受到投资者的青睐，并最终反映在股票收益率上，这正是价值投资理论的基础。但公司的财务指标有很多，投资者总是会关注不同的因子，因此如果单看一个较短的时期，则有可能存在动态变化的最强因子。如果能在每个时点都能通过选股捕捉到当时的最强因子组合，继而选择能从最强因子获得正向超额收益的股票组合，最终累计的超额收益应该能超过单纯的Alpha因子的效果。如果上述猜测得到证实，那么就说明财务因子能够在一定程度上区分市场上的股票。本文主要应用的因子贡献度和因子偏离度主要来源于量化交易理论。近些年量化交易逐渐成为投资市场的主流，，在欧美市场，量化交易占到了全部交易的90%以上，而在国内这一比例不到10%。但不可否认的是，量化交易成为投资主流的趋势是不可阻挡的，它具有主观交易没有的优势，可以克服在交易过程中人性的弱点，避免情绪对于交易的影响。在不断创新、券种繁多选择越来越艰难的资本市场，我们希望理解纷繁复杂的市场数据背后的规律与意义，希望通过用量化手段、结合基本面研究相融合的方法为投资标的价值的判断、券种的选择进行相关的实证分析，通过长期的跟踪与持续不懈的研究，挖掘资本市场的运行规律，构建真正适合中国资本市场的数量化选股策略，从而更好的解释财务状况与股票收益率的内在联系。
[Abstract]:In the long run, there must be some relationship between the financial situation of listed companies and the return on stocks. Companies with high growth will definitely be favored by investors and will eventually be reflected in the return on stocks. This is the basis of the value investment theory. But there are a lot of financial indicators for a company, and investors are always looking at different factors, so if you look at a shorter period of time, It is possible to have the strongest factor of dynamic change. If you can capture the combination of the strongest factors at every point in time, and then select the portfolio that can obtain positive excess returns from the strongest factor, The cumulative excess return should outweigh the effect of the simple Alpha factor. It shows that the financial factors can distinguish the stock in the market to a certain extent. The contribution and deviation of the factors used in this paper mainly come from the quantitative trading theory. In recent years, quantitative trading has gradually become the mainstream of the investment market. In the European and American markets, quantitative transactions account for more than 90% of all transactions, while in China, the proportion is less than 10 percent. But it is undeniable that, The trend of quantitative trading becoming the mainstream of investment is irresistible, it has the advantage of subjective trading, it can overcome the weakness of human nature in the course of trading, and avoid the influence of emotion on trading. We want to understand the laws and meanings behind the complex market data, and we want to use quantitative means to make more and more innovations. Combining with the method of integrating fundamental research, this paper analyzes the value of investment target and the choice of securities, and excavates the running law of capital market through long-term tracking and persistent research. In order to better explain the internal relationship between financial situation and stock yield, the quantitative stock selection strategy which is suitable for China's capital market is constructed.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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