| In the modern, how to invest is becoming the hot topic. There are many kinds of investments, including stocks,bonds,funds,deposits,arts and so on. The higher gains in investment, the probably higher risk it is. With the enhancement of risk tolerance and the speculation mentality, people mostly favor the more risky investments, especially the stocks. As shown in the2012China family financial situation survey issued by HSBC bank(China), there are87%families investing in deposits and66%families in stocks,60%in funds and58%in insurance. As we all known, the stocks is more risky. Most people doubt that how to get the extra-returns in risky stocks. Value investing strategy probably is a way to gain extra-returns in stock market. This article aims at building a stock selection way of8financial indexes according to the Piotroski strategy, and checking whether it is feasible in A share of ShenZhen, so as to guide people value investing.Most scholars believe that the value investing strategy could get the extra-returns in China stock market, but there are very few research about what kind of value investing strategy is efficient. In abroad, Piotroski strategy is considered to be a nice value investing strategy, and so whether it fits to the China stock market? The article focuses on the extra-returns gained in ShenZhen A share market with Piotroski strategy in different holding period and the analysis of influencing factors.Furthermore, we do not copy the Piotroski(2000) method mechanically, and we make several improvements on it.Firstly, the article weeds out the increase of long-term debt index and use other8financial indexes to select stocks in considering that the long-term debt index is a moderate indicator and its influence to yield is not obvious. Secondly, as people have little patient in long-time holding, we make the holding time more specific. In order to find a best holding time and lead value investing,this article computes and compares the extra-returns in holding lweek,2weeks,3weeks,lmonth,3months,6months, lyear and2years of the high-score portfolio. Of course, there are several deficiencies in choice of time span, other value investing strategy and also it is a pity about not comparing this method in bull market and bear market. These remain to be further research.The results of this article have shown that:In China, with the imperfect short sales mechanism, holding the high score portfolio for1year and2years of12.4%and22.8%extra-returns, will gain higher extra-returns than holding all low price-to-book portfolio. While holding the low P/B portfolio for3weeks, lmonth,3month and6month average get negative returns.Even though, in short sales mechanism, the high-low portfolio,a arbitrage portfolio of buying the high-score portfolio and shorting the low-score portfolio, constructed by Piotroski strategy could gain a significant positive extra-returns in holding1week, yet the short sales mechanism is not perfect in our country. Above all, it is easy to get positive returns in holding portfolio for lyear or2years. In Shenzhen A share market, it is better to invest high-score portfolio with low-size, high-price,low-volume or moderate PE.It is not only good for reducing the number of stocks,but also easy to form portfolio. In the analysis of other influence factors, there is little significant effect between ACCRUAL(the current year’s net income before extraordinary items less cash flow from operations),F_△GB(equal to one if the firm did not issue common equity in the year preceding portfolioformation),F_△LEVER(equal to one if the firm’s leverage ratio fell in the year preceding portfolio formation) and the extra-return in1year. In the past12years, it is most likely to get extra-return of investing the high-score portfolio in1year, which proves that there is value investing room inShenZhen A share market.Through the whole empiricalstudy, as lack of the short sales mechanism, the8financial indexes stock-selection method is an efficient value investing strategy inShenZhen A share market. |
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