基于DMA模型的价值投资策略有效性  

Effectiveness of value investment strategy based on DMA models

作　　者：杨明高[1,2,5] 尹亚华 吴恒煜 张琬[4] Yang Minggao;Yin Yahua;Wu Hengyu;Zhang Wan(School of Economic Information Engineering,Southwestern University of Finance and Economics,Chengdu 611130,China;Sichuan Provincial Key Laboratory of Financial Intelligence and Financial Engineering,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Management,Jinan University,Guangzhou 510632,China;School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China;College of Management,China West Normal University,Nanchong 637002,China)

机构地区：[1]西南财经大学经济信息工程学院,四川成都611130 [2]西南财经大学金融智能与金融工程重点实验室,四川成都611130 [3]暨南大学管理学院,广东广州510632 [4]西南财经大学金融学院,四川成都611130 [5]西华师范大学管理学院,四川南充637002

出　　处：《系统工程学报》2021年第3期382-399,共18页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71601125).

摘　　要：基于我国股市数据,运用三类多因子DMA模型,制定价值投资策略,引导投资者进行理性投资,对我国股票市场的股票投资策略的有效性进行研究.研究表明,将大盘指数与行业指数作为反映情绪与政策影响的因子纳入模型,其拟合效果有显著提升.而仅基于客观财务指标制定的价值投资策略,其实施的收益率远高于市场平均收益率.研究成果不仅可以引导投资者进行理性投资,而且为价值投资策略的存在与消失提供了理论依据.This paper studies the effectiveness of stock investment strategies in our country’s stock market.Based on the data of Chinese stock market,we use three kinds of multi-factor DMA model to formulate value investment strategy and guide investors to make rational investment.The results show that taking the market index and the industry index as the factors reflecting the influence of emotion and policy into the model,the fitting effect has been significantly improved.However,the rate of the return of the value Investment strategy only based on objective financial indexes is much higher than the average rate of return of the market.The research results of this paper can not only guide investors to invest rationally,but also provide a theoretical basis for the existence and disappearance of value investment strategy.

关 键 词：价值投资策略 非理性投资 多因子DMA 财务指标 

分 类 号：F835[经济管理—金融学]