基于随机森林模型的股票多因子投资研究

机器学习模型由于其对变量间共线性及非线性关系的处理能力,在金融投资领域得到了越来越广泛的应用.利用23个常见因子建立随机森林模型,对中证500指数成分股收益率进行预测并构造投资组合,发现随机森林模型能够对个股的相对收益率进行较好的拟合和预测,多空投资组合的年化收益率和夏普比率分别高达27.31％和1.59;通过因子重要性分析发现,动量因子在随机森林模型中的作用最强,而长期的流动性水平显得最不重要;随机森林模型所代表的非线性因子在估值因子、规模因子和盈利因子上有一定暴露,超额收益极其明显.研究结论有助于促进人工智能和金融学的交叉融合研究,同时也为多因子投资提供了理论和现实参考.     

基于上海证券交易所股票样本的资本资产定价模型有效性检验

本论文以CAPM在我国证券市场有效性检验为切入点,借助统计软件SPSS和EXCEL,选取上海证券交易所2007年1月至2011年3月的50只股票为样本,利用回归分析的方法对CAPM在上海证券交易所的有效性进行实证研究.研究结果表明在上海证券交易所股票的收益率与β系数的相关关系不显著,二者之间没有显著线性关系,CAPM目...     

我国封闭式基金收益率持续性实证研究

本文以我国2000-2004年的20只封闭式基金为样本,对我国基金收益率的持续性进行研究,发现基金收益率的持续性不能用基金收益率的标准差来解释,也不能用基金收益率的标准差与基金所投资的股票的规模一起解释.笔者认为可能的原因是中国的证券市场还不成熟,还未形成规范化的基金市场;研究的数据有限;我国封闭式基金的费用率没有差别.     

中国商业银行净利息收益率比较研究--基于10家上市银行2001—2012年的数据

净利息收益率作为衡量成本收入水平的综合性指标,对商业银行的经营管理具有重要意义.通过选取我国10家上市银行为研究样本,以样本银行主要生息资产和付息负债为对象,以净利息收益率作为考核银行净利息收入能力的指标,实证分析了金融危机后我国商业银行净利息收益率差异及其影响因素.研究表明,目前我国商业银行的净利息收益率的大小主要取决于生息资产的收益率,特别是银行贷款及垫款业务的规模、结构及定价能力的差异是净利息收益率差异的根本原因.随着利率市场化的推进,我国商业银行的盈利压力不断增加,相信净利息收益率指标的应用将更加深入广泛.     

利率互换定价中贴现收益率曲线的选择

该文以基于7天回购利率（FR007）的利率互换（IRS）为例,讨论在人民币IRS定价中的核心问题——贴现收益率曲线的选择。在对FR007的1年、3年和5年期IRS进行定价分析后发现：适宜采用国债到期收益率曲线进行单利贴现定价,由此计算的理论价格与实际价格走势基本一致且差距最小,而央票和政策性金融债收益率曲线贴现的理论价格线总是成为IRS的阻力线。     

三因素模型定价：中国与美国有何不同？北大核心CSSCISSCI

Fama-French三因素模型是资产定价的经典模型,在资本市场实践中广为应用。对比检验中美两国股票组合同期收益率,本文发现中国股市系统性风险突出,存在着市值规模效应,但账面市值比效应并不显著。中国股票组合的收益率是能够被市场风险溢价和市值规模效应的二因素模型较好诠释的。较之美国股市,中国政策信息影响频仍,个股对市场的变化敏感,但是中国投资者对于上市公司的成长性关注尚且不足。这就是说,相对于美国股市而言,中国股市的资源配置功能尚未完全实现。     

工商银行盈利影响因素分析——基于实证模型的探讨

在现代商业银行中,持续发展和稳健经营是在激烈竞争中保持优势的关键,在此背景下,本文以工商银行为例,选取资产平均收益率ROAA指标,对2007年至2015年的数据进行研究,发现不良贷款率、成本收入比、资产规模和宏观变量对资产平均收益率有显著性影响并进行了分析,最后提出相关建议:1.压缩营运成本,提高运营效率;2.扩大信贷规模的同时注重信贷质量;3.加快中间业务发展,拓宽利润来源渠道。     

Fama-French三因子模型对A股酿酒行业股票收益率的实证研究

在股票投资决策中,酿酒行业的股票备受关注。以酿酒行业20只股票为研究对象,按照规模大小和账面市值比大小,将样本股票分为四个组合。基于Fama-French三因子模型,对组合的月收益率数据进行实证研究,结果发现,样本区间内市场溢价因子、规模因子和账面市值比因子对酿酒行业股票组合收益率的变动有很好的解释力。     

中国市场期望权证回报

本文主要在Coval and Shumway(2001)的基础上,在中国权证市场上检验了单个权证的回报的两个假说,也就是,当贝塔(Beta)值大于零的时候,买权的回报比标的资产要大,卖权回报比无风险收益率要小.通过检验中国市场权证的回报率,这两个假说成立.把Black-Sholes的贝塔值代入资本资产定价模型(CAPM)的公式计算阿尔法(alpha)的时候发现,显著为负.所以虽然前面两个结论成立,但是Black-Scholes/CAPM模型被拒绝.     

投资者关注与股市收益 ——基于股吧数据挖掘的实证分析

采用股吧发帖量衡量个股投资者关注度,并构建了市场整体的关注度指标以及关注度风险因子,通过对市场整体以及异质性股票的实证检验,结果发现:(1)总体关注度指标只对当期市场收益率有影响,对未来预测能力的影响并不显著,同时投机性较强的股票对关注度指标的敏感性更高;(2)在控制了现有定价因子(MKT、SMB、HML、MOM、ILLIQ)后,关注度因子仍然能够获得显著的正阿拉法收益;(3)多因子回归结果显示关注度因子对投资组合收益率有显著的解释能力,说明关注度因子能够为现有的定价模型带来增量信息.总体来看,采用个股关注度简单加权的市场总体关注度指标并不能对市场收益率进行有效预测,但是采用分组排序法构造的关注度因子却对市场收益率具有较强的解释能力.     

Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model

We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not constitute an anomaly because they are consistent with a varying‐beta Capital Asset Pricing Model. We also show that systematic risk is related to the business cycle. Furthermore, the results suggest that although size and especially momentum returns are significant, it would be difficult to exploit them in the short to medium run, because they are positive and sizeable in very few years in our sample.     

Interaction of size,book‐to‐market and momentum effects in Australia

This study seeks to disentangle the effects of size, book‐to‐market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book‐to‐market. Three key findings emerge. First, the size premium is the strongest, particularly in the loser portfolios. Second, the value premium is generally limited to the smallest portfolios. Third, the momentum premium is evident for the large‐ and middle‐sized portfolios, but loser stocks significantly outperform winner stocks in the smallest size portfolio. When these interactions are controlled with multivariate regression, we find a significant negative average relation between size and returns, a significant positive average relation between book‐to‐market and returns, and a significant positive average relation between momentum and returns.     

The role of shorting,firm size,and time on market anomalies

We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is weak among the largest stocks. Momentum profits, however, exhibit no reliable relation with size. These effects are robust over 86 years of US equity data and almost 40 years of data across four international equity markets and five asset classes. Variation over time and across markets of these effects is consistent with random chance. We find little evidence that size, value, and momentum returns are significantly affected by changes in trading costs or institutional and hedge fund ownership over time.     

Momentum Strategies: Evidence from Pacific Basin Stock Markets

We investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country‐neutral strategy generates small but statistically significant returns during 1981–1994, when we control for size and turnover effects we find that the country‐neutral profits dissipate. Our evidence suggests that the factors that contribute to the momentum phenomenon in the United States are not prevalent in the Asian markets.     

Has momentum lost its momentum?

We evaluate the robustness of momentum returns in the US stock market over the period 1965–2012. We find that momentum profits have become insignificant since the late 1990s. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels of market volatility in this period rendering momentum strategy unprofitable. Momentum profits remain insignificant in tests designed to control for seasonality, up or down market conditions, firm size and liquidity. Past returns, can no longer explain the cross-sectional variation in stock returns, even following up markets. Investigation of post holding period returns of momentum portfolios and risk adjusted buy and hold returns of stocks in momentum suggests that investors possibly recognize that momentum strategy is profitable and trade in ways that arbitrage away such profits. These findings are partially consistent with Schwert (Handbook of the economics of finance. Elsevier, Amsterdam, 2003) that documents two primary reasons for the disappearance of an anomaly in the behavior of asset prices, first, sample selection bias, and second, uncovering of anomaly by investors who trade in the assets to arbitrage it away. In further analyses we find evidence that suggest two other possible explanations for the declining momentum profits, besides uncovering of the anomaly by investors, that involve decline in the risk premium on a macroeconomic factor, growth rate in industrial production in particular and relative improvement in market efficiency.     

Volatilities and Momentum Returns in Real Estate Investment Trusts

We examine the relation of time-varying idiosyncratic risk and momentum returns in REITs using a GARCH-in-mean model and incorporate liquidity risk in the asset pricing model. This is important because illiquidity may be more severe for REITs due to the nature of their underlying assets. We find that momentum returns display asymmetric volatility, i.e., momentum returns are higher when volatility is higher. Additionally, we find evidence that REITs with lowest past returns (losers) have higher idiosyncratic risks than those with highest past returns (winners) and that investors require a lower risk premium for holding losers’ idiosyncratic risks. Therefore, although losers have higher levels of idiosyncratic risks, their low risk premia cause low returns, which contribute to momentum. Lastly, we find a positive relation between REITs’ momentum return and turnover.     

Empirical Evidence of the Existence of Investable Premiums in Emerging Market Investable Stocks

This paper shows that portfolios of more investable securities bear a premium when compared to portfolios of less investable stocks, reflecting compensation for local risk factors. The investable premium is overwhelmingly priced across 3,782 companies traded in 29 emerging markets from 1988 to 2006. The investable premium impacts stock returns at least as much as other fundamental premiums such as size, value, momentum, and loads on political, economic, and financial risk factors. The impact of the investable premium on emerging stocks returns has increased in strength, implying that foreign ownership has greater influence on local markets in recent years.     

Momentum returns in Australian equities: The influences of size,risk, liquidity and return computation

The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on ‘practical’ or ‘realistic’ investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.     

Is beta still alive? Conclusive evidence from the Swiss stock market

Recent evidence from Fama and French (1992, 1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining returns, because tests are often performed in periods where the average realized market excess return is not significantly different from zero. In order to assess the usefulness of beta, an alternative approach that dissociates results obtained in periods where the realized market excess is positive from those where it is negative is proposed. These new tests are then applied to a representative sample of the Swiss stock market over the period 1983–1991. The different results unambiguously support the fact that beta is a good measure of risk, because beta is strongly related to the cross-section of realized returns. These results also confirm that there are no arbitrage opportunities on this market.     

Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets

Size effect studies generally suggest that a return premium exists for small firms. While the size effect has mostly disappeared in recent years in mature markets (e.g., US and UK), it remains mostly strong in developing markets. The purpose of this paper is to examine the relationship between firm size and excess stock returns in the Chinese stock markets, and to examine this effect in both a bull and bear market. No studies have previously examined these relationships in the Chinese markets. The results of the study indicate that a size effect exists in the Chinese stock markets over the 6-year period from 1998 to 2003. We find small firms have significantly greater excess returns than large firms. Moreover, small firms are found to have a stronger reaction to the direction of the market than large firms. Small firms have significantly greater positive excess returns than large firms during the bull market. However, small firms have significantly greater negative returns (using total market value), or no significant difference in returns (using float market value) during the bear market period.