定向增发的量化组合管理模型与纺织外贸企业投资实务  

Quantitative portfolio management model of private placement and investment practice of textile and foreign trade enterprises

作　　者：琚康 马浩 Ju Kang;Ma Hao(Jiangsu Holly Corporation,Nanjing 210001,China;Jiangsu SOHO Investment Group Co.Ltd.,Nanjing 210012,China)

机构地区：[1]江苏弘业股份有限公司,江苏南京210001 [2]江苏苏豪投资集团有限公司,江苏南京210012

出　　处：《纺织报告》2023年第4期53-55,共3页

摘　　要：1999年东软集团(600718.SH)发行国内第一个定增以来,A股市场定增业务的开展已有23年之久。2014年的新“国九条”大幅提高了资本市场的地位,政策鼓励资本市场发挥资源配置的作用。2020年的再融资新规使国内上市公司的融资需求不断释放,定向增发市场持续回暖。文章通过比较2014—2022年纺织外贸企业投资部门的实盘与量化组合管理模型的模拟盘的投资表现,提出稳健的纯多头定增投资不仅在于股价的折扣率,还需要通过实证的方法研究标的的基本面和市场的行为,并做好组合管理。Since Neusoft Group(600718.SH)issued the first private placement in China in 1999,the business of private placement in the A-share market has been carried out for 23 years.The new“National Nine Rules”issued by the government in May 2014 has greatly improved the position of the capital market,and the policy encourages the capital market to play the role of resource allocation.The new rules on refinancing in 2020 promote continuous release of financing needs of domestic listed companies,and the private placement market continues to recover.By comparing the investment performance of the investment department of a textile and foreign trade enterprise from 2014 to 2022 with the quantitative portfolio management model,this paper proposes that the robust pure long investment of private placement does not only depend on the discount rate of the stock price,but also needs to use empirical methods to study the fundamentals and the market behavior,and requires a good portfolio management.

关 键 词：定向增发 量化模型 组合管理 市场行为 

分 类 号：F832.48[经济管理—金融学]