我国定向增发股的优化组合投资策略研究

中国A股市场上定向增发已被证明对标的股票未来收益存在一定的影响,以往的投资策略均集中在对单支股票深入分析的投资方式上.本文提出从大量备选定向增发股中选取最优化组合的分析计算方法,并构造定向增发指数刻画优化组合的性能.据此构造了一组由25支股票组成的优化投资组合,实证计算表明,该优化投资组合在2008～2011年回溯窗口期表现良好,其中等权定向增发股指数各年度的超额收益率(基准为沪深300指数)分别为10.3%,96.4%,32.4%和5.6%,信息比率分别为1.7,2.4,2.0和0.8,每年均显著超过基准.

Empirical Study on the Optimized Portfolio Investment Strategy of Private Shares in China

In recent years,private equity placement has been proved to have effect on future earnings of stocks.While previous investment strategies are still focusing on the fundamental analysis of single stock,in the paper a new strategy was proposed to choose the optimum portfolio from available private shares.Furthermore,an index was constructed to measure the earning potential of the optimum portfolio,and the experimental test in the back window from 2008 to 2011 was performed.It is shown that the annual excess return(benchmark for CSI 300 index) of the equal weight index is 10.3%,96.4%,32.4% and 5.6%,and the annual information ratio is 1.7,2.4,2.0 and 0.8,respectively for the past four years.