侯晓辉;王博;

• 1:西安交通大学经济与金融学院

摘要(Abstract)：

基本面量化是基本面分析和量化投资的理想融合,基本面分析为寻找阿尔法因子提供了坚实的理论基础,量化投资则为处理更复杂的基本面信息提供了技术手段。目前关于基本面量化投资的理论研究较少,且脉络不够清晰。本文基于对国内外相关研究的回顾,首先探讨了基本面分析、量化投资理论实践的发展及基本面量化的内涵,进而介绍了其重要的理论基础及测量方法,系统梳理了相关实证研究进展,并提出了未来研究展望,以为该领域的后续研究提供参考。

关键词(KeyWords)： 基本面量化投资;研究述评;研究展望

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金面上项目(71473189)

作者(Author): 侯晓辉;王博;

Email:

DOI: 10.16164/j.cnki.22-1062/c.2021.01.017

参考文献(References)：

• [1]ANAGNOSTOPOULOS I.Fintech and regtech:Impact on regulators and banks[J].Journal of Economics and Business,2018(100):7-25．
• [2]LEE I,SHIN Y J.Fintech:Ecosystem,business models,investment decisions,and challenges[J].Business Horizons,2018,61(1):35-46．
• [3]王林辉,董直庆．基于产权的股票价格与股市发展问题研究[J]．东北师大学报(哲学社会科学版),2007(5):116-119．
• [4]GRAHAM B,DODD D L.Security analysis[M].New York:Whittlesey House,1934．
• [5]WILLIAMS J B.The theory of investment value[M].Cambridge:Harvard University Press,1938．
• [6]GORDON M J,SHAPIRO E.Capital equipment analysis:the required rate of profit[J].Management Science,1956,3(1):102-110．
• [7]RAPPAPORT A.The economics of short-term performance obsession[J].Financial Analysts Journal,2005,61(3):65-79．
• [8]FELTHAM G A,OHLSON J A.Valuation and clean surplus accounting for operating and financial activities[J].Contemporary Accounting Research,1995,11(2):689-731．
• [9]MARKOWITZ H.The utility of wealth[J].Journal of Political Economy,1952,60(2):151-158．
• [10]SHARPE W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].Journal of Finance,1964,19(3):425-442．
• [11]LINTNER J.Security prices,risk,and maximal gains from diversification[J].Journal of Finance,1965,20(4):587-615．
• [12]FAMA.Efficient capital markets:A review of theory and empirical work[J].Journal of Finance,1970,25(2):383-417．
• [13]郭喜才．量化投资的发展及其监管[J]．江西社会科学,2014(3):58-62．
• [14]CHINCARINI L B.Quantitative equity portfolio management:An active approach to portfolio construction and management[M].McGraw-Hill,2006．
• [15]FAMA K F.The cross-section of expected stock returns[J].Journal of Finance,1992,47(2):427-465．
• [16]LEE C M C,SO E C.Alphanomics:The informational underpinnings of market efficiency[J].Foundations and Trends in Accounting,2015,9(2-3):59-258．
• [17]张然,汪荣飞．基本面量化投资：运用财务分析和量化策略获取超额收益[M]．北京：北京大学出版社,2017．
• [18]王少平,杨继生．联合p值综列单位根检验的扩展及其对中国股市的弱有效性检验[J]．统计研究,2006(4):69-72．
• [19]SHILLER.Stock prices and social dynamics[J].Brookings Papers on Economic Activity,1984(2):457-510．
• [20]BLACK F.Presidential address:Noise[J].Journal of Finance,1986,41(3):529-543．
• [21]SHLEIFER A,SUMMERS L H.The noise trader approach to finance[J].Journal of Economic Perspectives,1990,4(2):19-33．
• [22]DELONG M R.Primate models of movement disorders of basal ganglia origin[J].Trends in Neurosciences,1990,13(7):281-285．
• [23]LEE A S,THALER R.Investor sentiment and the closed-end fund puzzle[J].Journal of Fiance,1991(46),75-109．
• [24]BAKER M,WURGLER J.Investor sentiment and the cross-section of stock returns[J].Journal of Finance,2006,61(4):1645-1680．
• [25]LEE C M C.Value investing:Bridging theory and practice[J].China Accounting and Finance Review,2014,16(2):1-29．
• [26]OHLSON J A.A synthesis of security valuation theory and the role of dividends,cash flows,and earnings[J].Contemporary Accounting Research,1990,6(2):648-676．
• [27]OHLSON J A.The theory of value and earnings,and an introduction to the Ball-Brown analysis[J].Contemporary Accounting Research,1991,7(1):1-19．
• [28]FRANKEL R,LEE C M C.Accounting valuation,market expectation,and cross-sectional stock returns[J].Journal of Accounting and Economics,1998,25(3):283-319．
• [29]CARHART.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82．
• [30]周浩,唐琦,杨雪．基于大数据的股票多因子量化投资策略优化研究[J]．商讯,2019(8):86-87．
• [31]STATTMAN D.Book values and stock returns[J].The Chicago MBA:A Journal of Selected Papers,1980,4(1):25-45．
• [32]ROSENBERG D M,DANKS H V,LEHMKUHL D M.Importance of insects in environmental impact assessment[J].Environmental Management,1986,10(6):773-783．
• [33]BASU.The investment performance of common stocks in relation to their price-to-earnings:A test of the efficient market hypothesis[J].Journal of Finance,1977,32(3):663-682．
• [34]REINGANUM J F.Market structure and the diffusion of new technology[J].The Bell Journal of Economics,1981:618-624．
• [35]LAKONISHOK A S,VISHNY R.Contrarian investment,extrapolation,and risk[J].Journal of Finance,1994,49(5):1541-1578．
• [36]DESAI M A,FOLEY C F,HINES JR J R.A multinational perspective on capital structure choice and internal capital markets[J].Journal of Finance,2004,59(6):2451-2487．
• [37]O'SHAUGHNESSY J P.What works on wall street[M].McGraw Hill Professional,2005．
• [38]PIOTROSKI J D.Value investing:The use of historical financial statement information to separate winners from losers[J].Journal of Accounting Research,2000,38:1-41．
• [39]MOHANRAM.Separating winners from losers among low book-to-market stocks using financial statement analysis[J].Review of Accounting Studies,2005,10(2-3):133-170．
• [40]SLOAN.Do stock prices fully reflect information in accruals and cash flows about future earnings?[J].The Accounting Review,1996(71):289-315．
• [41]RICHARDSON R S,YOU H.What makes stock prices move?Fundamentals vs.investor recognition[J].Financial Analysts Journal,2012,68(2):30-50．
• [42]HIRSHLEIFER K HOU,TEOH S.Do investors overvalue firms with bloated balance sheets?[J].Journal of Accounting and Economics,2004(38):297-331．
• [43]NOVY-MARX.The other side of value:The gross profitability premium[J].Journal of Financial Economics,2013,108(1):1-28．
• [44]FALKENSTEIN.The missing risk premium:Why low volatility investing works[M].Create Space Independent Publishing Platform,2012．
• [45]ANG R H,XING Y,ZHANG X.The cross-section of volatility and expected returns[J].Journal of Finance,2006,19(4):259-299．
• [46]BLACK M J,SCHOLES M.The capital asset pricing model:Some empirical tests[J].Studies in the Theory of Capital Markets,1972,81(3):79-121．
• [47]FRAZZINI L P.Betting against beta[J].Journal of Financial Economics,2014,111(1):1-25．
• [48]GEORGE C H.A resolution of the distress risk and leverage puzzles in the cross section of stock returns[J].Journal of Financial Economics,2010,96(1):56-79．
• [49]PENMAN S R,TUNA I.The book-to-price effect in stock returns:Accounting for leverage[J].Journal of Accounting Research,2007,45(2):427-467．
• [50]孙友群,陈小洋,魏非．价值投资与中国股市对接的思考[J]．财经理论与实践,2002(2):65-67．
• [51]姚辉,武婷婷．兼顾基本面与估值指标的价值投资策略实证研究：来自2000-2013年中国沪深A股市场的经验数据[J]．投资研究,2014(11):123-138．
• [52]CUTLER J P,SUMMERS L.What moves stock prices?[J].Journal of Portfolio Management,1989(15):4-12．
• [53]EASTON.PE ratios,PEG ratios,and estimating the implied expected rate of return on equity capital[J].The Accounting Review,2004,79(1):73-95．
• [54]RICHARDSON S,SLOAN R,YOU H.What makes stock prices move?Fundamentals vs.investor recognition[J].Financial Analysts Journal,2012,68(2):30-50．
• [55]HIRSHLEIFER.Investor psychology and asset pricing[J].Journal of Finance,2001,56(4):1533-1597．
• [56]杨雁．会计信息对股价影响的实证研究[J]．现代经济信息,2009(16):206-207．
• [57]ASNESS,FRAZZINI A,ISRAEL R,et al.Fact,fiction,and momentum investing[J].Journal of Portfolio Management,2014,40(1):75-92．
• [58]GREEN J,HAND J R M,ZHANG X F.The characteristics that provide independent information about average U.S.monthly stock returns[J].The Review of Financial Studies,2017,30(12):4389-4436．
• [59]HOU K,XUE C,ZHANG L.Replicating anomalies[J].The Review of Financial Studies,2020,33(5):2019-2133．
• [60]KARIYA T.Quantitative methods for portfolio analysis:MTV model approach[M].Springer Science&Business Media,2012．
• [61]ALBADVI A,NOROUZI A.Using downside CAPM theory to improve customer lifetime value prediction in non-contractual setting[J].Management Science Letters,2013,3(12):3003-3012．
• [62]陈守东,孟庆顺,赵云立．中国股票市场FF多因子模型的比较分析[J]．吉林大学社会科学学报,2003(5):93-98．
• [63]朱忆．多因子对冲模型的构建[D]．上海：复旦大学,2014．
• [64]刘辉,黄建山．中国A股市场股票收益率风险因素分析：基于Fama-French三因素模型[J]．当代经济科学,2013,35(4):27-31．
• [65]江方敏．基于多因子量化模型的A股投资组合选股分析[D]．成都：西南交通大学,2013．
• [66]刘昭．基于情绪系数下的多因子选股模型实证研究[D]．济南：山东大学,2017．
• [67]潘莉,徐建国．A股个股回报率的惯性与反转[J]．金融研究,2011(1):149-166．
• [68]BUEHLMAIER M,ZECHNER J.Slow-moving real information in merger arbitrage[C]//Annual Meeting of the European Finance Association(EFA).The European Finance Association(EFA),2014．
• [69]李斌,邵新月,李玥阳．机器学习驱动的基本面量化投资研究[J]．中国工业经济,2019(8):61-79．
• [70]王伦．基于深度森林的选股策略[J]．经济研究导刊,2019(27):78-79.