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学海拾珠系列之二百四十六:基于图形派与基本面派的股市信息效率模型
Huaan Securities· 2025-08-20 13:05
[Table_StockNameRptType] 金融工程 专题报告 基于图形派与基本面派的股市信息效率模型 ——学海拾珠系列之二百四十六 [Table_RptDate] 报告日期:2025-08-20 主要观点: [Table_Summary] 本篇是学海拾珠系列第二百四十六篇,文章利用图表派—基本面派 模型,研究信息效率股票市场的局限性。研究结果表明,市场可能存在 两种不同的状态并存:恒定的错误定价和振荡性的错误定价。 分析师:严佳炜 执业证书号:S0010520070001 邮箱:yanjw@hazq.com ⚫ 信息效率与市场动态的理论分歧 学界对市场信息效率存分歧:Fama(1970)主张价格完全反映信 息;Grossman 和 Stiglitz(1980)认为完全有效会削弱信息收集动 机,导致恒定错误定价;Lo 和 Farmer(1999)强调效率动态变化, 错误定价随行为调整变化。 ⚫ 图表派—基本面派模型的设定与行为机制 本文构建的图表派—基本面派模型同时解释恒定与振荡性错误定 价,兼容各方观点。本模型基于图表派与基本面派的互动机制,做市商 根据超额需求调整价格,图表派通过趋势外推预测,基本面 ...
华创金工基本面研究(三)估值因子研究:拙能胜巧
Huachuang Securities· 2025-05-16 15:17
Valuation Factors - The report identifies that the EP, BP, and SP factors show strong predictive capabilities across different sample pools, while the PEG factor performs poorly [1][6][10] - The EP factor demonstrates significant returns, with notable performance across various industries, particularly in manufacturing [1][40] - The BP factor excels in asset-heavy industries such as utilities and finance, while the SP factor performs well in the TMT sector [1][40] Sources of Returns - The report states that the mispricing between valuation and fundamentals is the source of returns from valuation factors, with significant positive returns from low valuation-strong fundamentals combinations and negative returns from high valuation-weak fundamentals combinations [2][41][46] Long-term Effectiveness - Valuation factors are noted to be effective in the A-share market, although there is a potential for diminishing returns as the market becomes more institutionalized [3][59][75] - Historical data shows that the selected portfolios based on valuation factors achieved annualized returns of 14.87% in the CSI 800 and 19.11% in the CSI 1000, indicating the long-term effectiveness of these strategies [4][11] Industry Performance - The report highlights that the performance of valuation factors varies significantly across different industries, with the EP factor generally performing well across most sectors [40][41] - The BP factor shows strong performance in heavy asset industries, while the SP factor is particularly effective in the TMT sector [40][41] Investment Strategy - The report suggests constructing investment portfolios based on the mispricing of valuation and fundamentals, utilizing factors such as BP, EP, net profit growth rate, and ROE for selection [4][41][75] - The strategy emphasizes the importance of identifying undervalued stocks with strong fundamentals to achieve superior returns [7][75]