Pacific-Basin Finance Journal Volume 39, September 2016, Pages 224–242

从技术面、基本面和信息结合来分离赢家和输家

作者：Hong-Yi (National Chengchi University-Department of Finance), ChenCheng (Rutgers University-Department of Finance and Economics), Few Lee (Bates White Economic Consulting), Wei K. Shih (National Chiao Tung University-Department of Information and Finance Management and Institute of Finance)

摘要：本文探讨了如何利用基本会计信息来补足技术信息以分离动量上的赢家和输家。我们首先引入了一个流动性买入量比流动性卖出量的比率（BOS比率）来代表股票的信息不对称水平，并表明了BOS动量策略可以提升动量策略的利润。我们进一步提出了一个统一的框架，这个框架的形成是通过将两个基本指标——FSCORE (Piotroski, 2000)和GSCORE (Mohanram, 2005)——合并到动量策略中。实证结果表明，合并后的投资策略，包括较大的信息内容，并且这些信息是市场不能及时反映的，因此，合并后的投资策略通过产生显著更高的收益而优于动量策略。

关键词：BOS比率，合并信息的投资策略，财务报表分析，基本面分析，动量策略，技术分析，交易量

Technical, fundamental, and combined information for separating winners from losers

Hong-Yi (National Chengchi University-Department of Finance), ChenCheng (Rutgers University-Department of Finance and Economics), Few Lee (Bates White Economic Consulting), Wei K. Shih (National Chiao Tung University-Department of Information and Finance Management and Institute of Finance)

Abstract

This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns.

Keywords: BOS ratio, Combined investment strategy, Financial statement analysis, Fundamental analysis, Momentum strategies, Technical analysis, Trading volume

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16300841

翻译：何杉