基于会计报表和网络中心性的指数增强策略研究  

Index Enhancement Strategy Based on Accounting Statements and Network Centrality

作　　者：王哲[1] 郭强[1] 刘建国 WANG Zhe;GUO Qiang;LIU Jian-guo(Research Center for Complex Systems Science,University of Shanghai for Science&Technology,Yangpu Shanghai,200093;School of Accountancy,Shanghai University of Finance and Economics,Yangpu Shanghai,200433)

机构地区：[1]上海理工大学复杂系统科学研究中心,上海杨浦区200093 [2]上海财经大学会计与财务研究院,上海杨浦区200433

出　　处：《电子科技大学学报》2021年第3期459-466,共8页Journal of University of Electronic Science and Technology of China

基　　金：国家自然科学基金(61773248,71632006,71771152,72032003);国家社会科学基金重大项目(18ZDA088,20ZDA060)。

摘　　要：指数增强策略作为一种主动投资和被动投资的有机结合,越来越受到投资者的关注。当前的指数投资主要是通过机器学习等方法对因子进行挖掘,忽略了财务年报等第一手信息。该文提出一种基于会计报表基本面数据和网络科学中心性研究的指数增强策略。首先通过随机森林方法选取行业指数内公司会计报表中具有代表性的指标,其次基于指标的Pearson相似性构建公司间网络,最后利用网络中心性指标选择中心性高的企业进行组合投资。在5个行业指数共计456支股票上的研究显示,该文所构造的投资组合的收益率比其指数基准收益率更高、更稳定。其中,半导体指数在2019年半年报中选出的组合收益率比基准收益率高出100.37%。这说明该方法对指数增强策略的研究具有一定的参考价值和适用性。The index enhancement strategy as an organic combination of active investment and passive investment has attracted more and more attention from investors.Current index investment mainly uses methods such as machine learning to mine factors,ignoring first-hand information such as financial annual reports.This paper proposes an index enhancement strategy based on the fundamental data of accounting statements and central research of network science.First,the random forest method is used to select representative indicators in the company's accounting statements in the industry index.Second,the inter-company network is constructed based on the Pearson similarity of the indicators.Finally,the network centrality index is used to select highly central companies for portfolio investment.Research on a total of 456 stocks in 5 industry indexes shows that the return rate of the investment portfolio constructed in this article is higher and more stable than the benchmark return rate of the index.Among them,the semiconductor index's combined return rate selected in the 2019 semi-annual report is 100.37%higher than the benchmark return rate.This shows that the method has certain reference value and applicability for the research of index enhancement strategy.

关 键 词：会计年报 度中心性 投资组合 随机森林 股票网络 

分 类 号：TP301.6[自动化与计算机技术—计算机系统结构] F830.91[自动化与计算机技术—计算机科学与技术]