论文部分内容阅读
以22个政策型主题为样本,运用事件研究法和回归分析法,实证检验了政策型主题投资策略的的超额收益率及其影响因素.结果显示,政策型主题存在显著正向的累计超额收益率.通过分析计超额收益影响因素发现,政策型主题投资策略在股市上涨周期特别是震荡上涨的情况下作用明显,在股票筛选上,应重点考虑因正式决议形成的政策型主题下的且在事件前一日股票上涨幅度较大的低价股.考虑资金流的影响后,发现政策型主题中在主题形成前8周至前7周左右的资金净主动买入额较高的,而在前4周至前3周净主动买入量占比较低的股票会在政策型主题形成后拥有更高更稳定的超额收益.
Based on the 22 policy-based themes, we use the case study and regression analysis to empirically test the excess return rate and its influencing factors of the policy-based theme investment strategy.The results show that the policy theme has a significant positive cumulative excess return Rate.Through analyzing the influencing factors of excess returns, we find that the policy-based thematic investment strategy plays an obvious role in the rising period of the stock market, especially the turbulence. In the stock screening, we should give priority to the policy-type theme formed by the formal resolution and The day before the incident, the stock rose a large margin of low-priced shares.After considering the impact of cash flow, found in the theme of the theme of the formation of the theme of the first 8 weeks to 7 weeks before the net positive purchase of funds higher in the former 4 weeks to 3 weeks before the net active purchase of stocks with a lower proportion of the policy theme will have a higher and more stable excess returns.