| Alpha strategy with its exposure to small,not affected by the economic cycle of the market,such as the advantages of the investment in the field of quantitative immortal place.Searching for the effective alpha factor is the key to obtaining positive alpha returns,whether there is a close correlation between the financial information disclosed in the capital market and the alpha earnings,whether the financial information can be used to construct the alpha factor has become the focus of the strategic investment.This is also the significance of this study.First,this paper proceeds according to the basic principle of alpha construction,through the financial index and the three factors excluding Fama-French five factor model,two factor model is proposed,which considers only the capital asset pricing model,the market system risk and market value of the risk factor,which makes the alpha earnings empirical process includes the effect of the company's financial indicators of uncertainty the correlation between alpha in order to study the income and financial index.Secondly,the alpha is calculated according to the above principles by rolling regression,and the financial data are lagged according to the date of financial statement disclosure.Because the financial index value is constant in a certain period of time,alpha is time varying,which makes the Spearman correlation coefficient between the two is time-varying.In this paper,in the sample time interval based on the size of the financial indicators of the stock sort,get the daily financial index of the top 20%of the average stock alpha earnings and the last 20%of the average stock alpha earnings,Do t test of the two groups of time series to determine whether there is a significant difference between them,and thus determine the correlation between financial indicators and stock alpha returns.Finally,according to the analysis of the sample financial factors to build alpha strategy,and through the sample data to test whether it can obtain positive alpha income.In this paper,a total of three sample portfolios are constructed,and the empirical analysis is carried out for all possible positions.Based on the correlation analysis between the 32 financial indicators and stock alpha returns,the following conclusions are drawn:If the holding period of six months,there is no significant correlation with the stock alpha earnings at the 10%significant level of financial indicators.If the holding period is four months,at a significant level of 5%,earnings per share growth was positively correlated with alpha earnings,capital ratio and stock alpha earnings negatively correlated.At the 10%significant level,the current ratio,net profit gains and losses attributable to the parent company's net assets,the proportion of the total assets of the current assets,the proportion of current liabilities accounted for the positive correlation with the stock alpha earnings.If the holding period is two months,the current ratio,the number of accounts receivable turnover days are positively correlated with the stock alpha earnings at the level of the significant level of 5%,and the capital ratio is negatively correlated with the stock alpha earnings.At the 10%signi ficance level,the ratio of total cash,cash cycle and current liabilities is positively correlated with the stock alpha earnings,and the asset liability ratio is negatively correlated with the stock alpha earnings.The results of the analysis are different,which shows that the correlation between the same financial indicators in different time periods and the stock alpha returns is different.The empirical results of the three sets of samples show that,even in a bear market,the alpha strategy can still make investors get positive returns.Moreover,with the Shanghai and Shenzhen 300 index and the daily change in the portfolio comparison found that that the volatility of the alpha portfolio income is relatively stable,especially in the market when the shock is more severe,this advantage is more prominent. |
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