基于基本面分析的量化投资:研究述评与展望  

Review and Prospect of Quantitative Investment Based on Analysis of Fundamental Plane

作　　者：侯晓辉[1] 王博[1] HOU Xiao-hui;WANG Bo(School of Economics and Finance,Xi an Jiaotong University,Xi an 710061,China)

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《东北师大学报（哲学社会科学版）》2021年第1期124-131,141,共9页Journal of Northeast Normal University(Philosophy and Social Science Edition)

基　　金：国家自然科学基金面上项目(71473189)。

摘　　要：基本面量化是基本面分析和量化投资的理想融合,基本面分析为寻找阿尔法因子提供了坚实的理论基础,量化投资则为处理更复杂的基本面信息提供了技术手段。目前关于基本面量化投资的理论研究较少,且脉络不够清晰。本文基于对国内外相关研究的回顾,首先探讨了基本面分析、量化投资理论实践的发展及基本面量化的内涵,进而介绍了其重要的理论基础及测量方法,系统梳理了相关实证研究进展,并提出了未来研究展望,以为该领域的后续研究提供参考。Fundamental quantification is the ideal fusion of fundamental analysis and quantitative investment.Fundamental analysis provides a solid theoretic basis for alpha factors while quantitative investment provides technical means for dealing with more complicated fundamental information.At present,there are few theoretical studies on fundamental quantitative investment,and also the study line is not clear enough.Based on review of related research both at home and abroad,the paper first discusses fundamental analysis,the development of quantitative investment theories and practices and the connotation of fundamental quantification,and then introduces its important theoretical basis and measurement methods,systematically summarizing the relevant empirical research progress and offering the prospect of future research with the aim of providing reference for subsequent research in the field.

关 键 词：基本面量化投资 研究述评 研究展望 

分 类 号：F832.51[经济管理—金融学]