摘要
基于资产定价理论,构建财务信息基本面分析模型,考量商业银行财务报表信息所构建的投资组合是否能获得超额收益。结果表明,从盈利性、稳健性和增长性三个维度构建的基本面分析指标B-score_(China),对当期银行股票收益和未来股票收益具有较强的解释能力,且该能力主要来自商业银行的稳健性。进一步分析表明,B-score_(China)策略对规模较大、分析师跟踪较少、换手率更低的银行具有更强的甄别效应。
Based on Fama French factor pricing theory and the institutional background and development of Chinese banking industry,the study investigates whether the investment portfolio of financial industry,can generate abnormal return when using the sample of published bank in China.The empirical test results show that after controlling the price factor,B-score_(China) still has strong explanatory power for current stock returns and future stock returns,and this forecasting ability mainly comes from the prudential power of bank’s business.Overall,our results show that the approach of using financial information for fundamental analysis can provide useful insights for finding value stock and can generate huge screening effect.
作者
王艳艳
余阳洋
黄丹艺
WANG Yanyan;YU Yangyang;HUANG Danyi(School of Economics and Management of Xiamen University,Xiamen,Fujian 361005,China;School of Antai College of Shanghai Jiao Tong University,Shanghai 200030,China)
出处
《财经理论与实践》
CSSCI
北大核心
2022年第3期104-112,共9页
The Theory and Practice of Finance and Economics
基金
国家自然科学基金项目(71572163、71972161、71972162、71372074)
“国家万人计划”青年拔尖人才和校长基金·创新团队(20720171003)项目。
