论文部分内容阅读
利用巨灵数据库的分析师评级数据,从投资者角度建立动态组合,检验了按每日、每周、每两周、每月、每季度头寸调整频率后的超额收益,研究发现:“买入”评级组合在各种头寸调整频率策略下都获得了超越市场指数的超额回报率,其中按每周频率进行头寸调整策略获得的市场调整后平均超额回报率最高,按三个月频率进行头寸调整策略获得的市场调整后平均超额回报率最低。投资者在面对分析师一致认为“买入”评级股票时,可按照每周更新的频率构建组合,以获取较高的超额回报率。投资者如果按季度调整频率来卖出股票可能会错失投资机会,卖掉的股票很可能会跑赢市场,投资者可按每两周或每四周的频率调整投资组合中的股票,卖出负面推荐评级“减持/卖出”股票,降低投资亏损。
Based on the analyst rating data of Ju Ling Database, a dynamic portfolio was established from the investor’s perspective to test the excess returns after adjusting for frequency on a daily, weekly, biweekly, monthly, and quarterly basis. The study found: The “in-rank” portfolio gained an excess return over the market index under various position-adjusted frequency strategies, with the market-adjusted average excess rate of return obtained from the position-adjusted strategy on a weekly basis at the three-month frequency The average adjusted rate of return on market adjusted for the position adjustment strategy is the lowest. In the face of analysts agreeing to “buy” rating stocks, investors can build portfolios on a weekly basis to get high excess returns. Investors who sells shares on a quarterly basis may miss out on investment opportunities, and the stocks they sell are likely to outperform the market. Investors can adjust their stocks in the portfolio every two weeks or every four weeks to sell negatives Recommended rating “reduction / sell ” stock, reduce investment losses.