投资专有技术冲击对股票横截面收益的时变影响分析——基于机器学习下基本面量化投资视角  

Analysis of the Time-Varying Impact of Investment-Specific Technology Shocks on Stock Cross-Sectional Returns: A Quantitative Perspective on Fundamental Investing Based on Machine Learning

作　　者：李永武 杨家敏 李健 汪寿阳[2] LI Yongwu;YANG Jiamin;LI Jian;WANG Shouyang(School of Economics and Management,Beijing Institute of Technology,Beijing 100124;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190)

机构地区：[1]北京工业大学经济与管理学院,北京100124 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统科学与数学》2024年第7期1902-1930,共29页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金项目(71932002)资助课题。

摘　　要：投资专有技术(简称IST)是一种通过创造新的资本存量从而在技术层面所带来的技术创新,一直以来被认为是经济增长的重要决定因素,投资专有技术冲击与股票市场之间也密切相关.随着机器学习方法在金融领域中被广泛地应用,其优异的表现能够挖掘出更加有效地解释资产价格波动的因子,探索投资专有技术冲击对资产价格的影响具有重要的现实意义.根据基本面量化投资研究的进展,文章筛选了机器学习方法中投资绩效表现优异的因子变量,基于数据可得性构建了2004年1月至2021年12月内的3种IST冲击代理变量以及9种微观企业特征和市场风险因子,并运用TVP-SV-VAR模型进行时变特征分析,揭示了IST冲击对不同企业特征下的股票横截面收益的影响.结果显示投资专有技术冲击对不同的企业特征下股票横截面收益影响均具有时变性,在不同时期下影响的方向、大小均不确定,且滞后影响都是中短期的.投资专有技术冲击在短期更多是通过影响企业短期内的交易量、交易额等交易摩擦类因子进一步影响投资者对企业的未来预期.同时,对于中期而言,投资专有技术冲击更多的是影响股东权益变化等成长类因子进而影响股票价格波动.Investment-specific technology(IST)is an innovation resulting from the creation of new capital stock at the technological level,which is widely recognized as a significant driver of economic growth,and there is also a close relationship between IST shocks and asset prices.Machine learning methods,extensively utilized in finance,can uncover more influential factors that elucidate asset price volatility.Therefore,examining the impact of IST shocks on asset prices holds substantial practical importance.This paper leverages advancements in fundamental quantitative investing research to screen for the top-performing factor variables with investment performance in the machine learning approach.It constructs three IST shock proxies and nine micro-firm characteristics and market risk factors for the period from January 2004 to December 2021,based on data availability,and the TVP-SV-VAR model is employed for time-varying characteristics analysis to elucidate the effect of IST shocks on cross-sectional stock returns under varying firm characteristics.The findings indicate that the influence of IST shocks on cross-sectional stock returns varies over time across firm characteristics,with the direction and magnitude of the impact being uncertain and the lagged impact being short-to medium-term.IST shocks in the short term tend to further influence investors'future expectations of firms by affecting trading frictions such as trading volume and turnover in the short term.At the same time,in the medium term,the impact of IST shocks is more likely to affect growth factors such as changes in shareholders'equity,which in turn affect stock price volatility.

关 键 词：投资专有技术冲击 TVP-SV-VAR模型 基本面量化投资 股票横截面收益 

分 类 号：TP181[自动化与计算机技术—控制理论与控制工程] F832.51[自动化与计算机技术—控制科学与工程]