A Study On Reconstruction Of Financial Statement Information For The Strategy Of Stock Arbitrage

There is an evergreenly enduring hot issue in the field of capital market research, which studies how to apply financial information to construct the strategies of stock trading that can bring about excess returns. So far, fully mining the financial information to establish a profitable trading strategy has become the mainstream method of developed capital market, but it is marginalized because of the system arrangement in our country. With the extensive development of securities margin trading and the implementation of reform of share issue registration system, the capital market of our country will enter into an era of arbitrage of hedging two-way trades and unprecedentedly strict supervision of information, which will lead to market of speculation reversed progressively. Therefore, how to organize financial information and establish profitable strategies of stock arbitrage will be mainstream of our country’s capital market and deep demand, also help clean up China’s capital market, and promote the optimization of resource allocation.Based on the review of domestic and foreign accounting and capital markets related study, this paper used the research methods of combination of normative analysis and empirical analysis to conduct a comprehensive and in-depth research on the above-mentioned problems.Firstly, this paper introduced the main equity valuation models and their derivations, analyzed their advantages and disadvantages from theory and practice, expounded the theoretical equivalent and practical difference of three kinds of equity valuation models, and pointed out the reasons that lead to the practical difference.Secondly, through analyzing relations among the residual operating income, business activities, reconstruction of financial statements and structural analysis of financial statement, this paper demonstrates that the residual income model is the logical departure point of this paper. Through the analysis of the relationship between corporate activities and its value stock and flow, this paper pointed out the disadaptation existing between traditional financial statements and Ohlson’s linear valuation model. This paper ameliorated Ohlson’s linear valuation model as well as reconstructed traditional financial statements in accordance with the division of operating activities and financial activities of company to achieve the mutual adaptation of the both.Thirdly, this paper pointed out the limitations of current financial statement information based on the frame of relationship between corporate activities and its value stock and flow. This paper analyzed financial statement information reconstructed by Penman and IASB/FASB respectively. This paper draw lessons from their advantage and put forward method of reconstructing financial statement information from investor’s perspective and construct the internal structural relationship model of reconstructed financial statement informationFourthly, in view of the complexity of financial statement information, this paper design an analysis model of three dimensions including target, business activities and financial capacity to obtain indices, on the base of which this paper construct the hierarchical structure model and thus design index system of reconfigurated financial statement information analysis. This paper designed computational formula for every financial index in accordance with the internal logic structure relationship of reconfigurated financial statement information.Fifthly, this paper combined improved Ohlson linear information valuation model with basic form of dynamic panel data structure and then constructed dynamic panel data structure which is related with return of stock based on the newly designed financial indicators. It established stock-classifying model by support vector machine and the strategies of arbitrage, and made an empirical test that regards medicine100Index by China Securities Index Co.,Ltd and its constituent stocks as the research sample.The above-mentioned research results show that the strategies of stock arbitrage that is established based on financial analysis index designed according to reconfigurated financial statements is able to achieve higher excess rate of return and produce lower error rate than the one that is established based on traditional financial ratios. These results also illustrate that financial statement information that this paper reconfigurated is usefuller to making-policy.