Accounting-based Trading Strategy Design.ppt

本讲义的目的是提供投资策略研究的一些基本技巧。 姜国华/2006年11月 Accounting-based Trading Strategy Design A trading strategy identifies a group of stocks to long or short, hoping to earn excess (abnormal) returns Examples: A growth fund may focus on buying high P/E, high P/B stocks A value fund may focus on buying low P/E, low P/B stocks A momentum trading strategy may focus on buying the recent winners and selling the recent losers. Investing is half science, half art. The process of argument is more important than the actual conclusion. Two basic approaches to stock investing 1) Firm analysis – individual stock picking 2) Trading strategy design – portfolio stock picking This course guides us to implement both approaches based on accounting information. The two approaches compared Individual firm analysis: More in-depth into the firm operation Incorporate much more firm information into the analysis More costly, and more risky Good for small-size investment Trading strategy design: Based on common characteristics of large numbers of firms Utilize less firm-specific information Less costly, and less risky Good for large-size investment Efficient Market Hypothesis (EMH)- Weak form No excess returns can be earned by using investment strategies based on historical share prices or other financial data. Weak-form efficiency implies that Technical analysis will not be able to produce excess returns. To test for weak-form efficiency it is sufficient to use statistical investigations on time series data of prices. In a weak-form efficient market current share prices are the best, unbiased, estimate of the value of the security. The only factor that affects these prices is the introduction of previously unknown news. News is generally assumed to occur randomly, so share price changes must also therefore be random. Efficient Market Hypothesis- Semi-strong form Share prices adjust instantaneously and in an unbiased fashion to publicly available new information, so that no excess returns