Pacific-Basin Finance Journal Volume 39, September 2016, Pages 224–242
從技術面、基本面和信息結合來分離赢家和輸家
作者：Hong-Yi (National Chengchi University-Department of Finance), ChenCheng (Rutgers University-Department of Finance and Economics), Few Lee (Bates White Economic Consulting), Wei K. Shih (National Chiao Tung University-Department of Information and Finance Management and Institute of Finance)
摘要：本文探讨了如何利用基本會計信息來補足技術信息以分離動量上的赢家和輸家。我們首先引入了一個流動性買入量比流動性賣出量的比率（BOS比率）來代表股票的信息不對稱水平，并表明了BOS動量策略可以提升動量策略的利潤。我們進一步提出了一個統一的框架，這個框架的形成是通過将兩個基本指标——FSCORE (Piotroski, 2000)和GSCORE (Mohanram, 2005)——合并到動量策略中。實證結果表明，合并後的投資策略，包括較大的信息内容，并且這些信息是市場不能及時反映的，因此，合并後的投資策略通過産生顯著更高的收益而優于動量策略。
關鍵詞：BOS比率，合并信息的投資策略，财務報表分析，基本面分析，動量策略，技術分析，交易量
Technical, fundamental, and combined information for separating winners from losers
Hong-Yi (National Chengchi University-Department of Finance), ChenCheng (Rutgers University-Department of Finance and Economics), Few Lee (Bates White Economic Consulting), Wei K. Shih (National Chiao Tung University-Department of Information and Finance Management and Institute of Finance)
Abstract
This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns.
Keywords: BOS ratio, Combined investment strategy, Financial statement analysis, Fundamental analysis, Momentum strategies, Technical analysis, Trading volume
原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927538X16300841
翻譯：何杉
