Quantitative Investment Strategy Research Based On The Earning Quality Of Listed Company

In recent years,domestic quantitative investment funds have developed rapidly,and their stable investment performance has been recognized by more and more investors.However,a series of new problems and new challenges are emerging.Since 2017,the performance of Shanghai and Shenzhen A stock market listed companies have been violent,and the performance of formerly outstanding stocks has changed frequently.The market’s attention to the real performance of listed companies continues to heat up.In this context,based on the perspective of fundamental quantitative stock selection,it is particularly important to construct a earning quality factor that can identify the fundamental characteristics of listed companies.Based on the study of domestic and foreign theoretical and practical research,this paper put forward the thought of constructing the earning quality factor.Based on the thought,first expounded the earning quality proxy variables which can be quantitatively described and explained by the model,and made a horizontal comparative analysis of the theoretical basis,model interpretation,advantages and disadvantages of each proxy.Secondly,based on the preliminary test results of proxies and the continuous regression analysis of the earnings of Shanghai and Shenzhen A stock market listed companies,the classical accrual and discretionary accrual were selected to construct the earning quality factor.Finally,Based on the guidance of the Accrual Anomaly theory and Alpha Excess Income theory,the validity of the empirical test factor of quantitative investment strategy was designed.The investment strategy back-testing interval was from May 1,2010 to May 1,2018,and the fixed position was adjusted every May 1st.After using Python programming to complete the extreme values,missing values,standardization and neutralization of the data,the stocks were sorted in ascending order according to the factor size,and the Shanghai and Shenzhen A stock market listed companies were evenly divided into 10 groups,and the equal-weighted assets were grouped for each combination.Backtesting factor performance.The empirical results showed that the accrual and the discretionary accrual factor showed good stock selection ability after removing the loss sample,and the discretionary accrual factor was better than the performance of the annual excess income,risk control and monotonic,showing the ideal Alpha factor characteristics.It could be used as a useful supplement to the traditional Alpha factor.After changing the number of shareholding and the sensitivity analysis of the empirical results,the results showed that the earning quality factor could beat the market benchmark and obtain stable excess income in the bull market and shock market,but it was equivalent to the market benchmark combination in the bear market,which showed that the empirical results were stable and reliable.Finally,the optimization of quantitative investment strategy of earning quality factor was accomplished by means of index combination and event combination.The results showed that there was an "accrual anomaly"in the Shanghai and Shenzhen A stock market,and the macroscopic market system and micro-market structure with Chinese characteristics provided natural soil for the generation of accrual anomaly.The research conclusion has certain referential significance for ordinary investors,fund managers and regulators and other different market subjects.