摘要
资金流向是证券分析师和广大投资者关注的重点之一。本文引入定单流指标,刻画资金的流向,提出了基于定单流的股票选择方法,并进行实证分析。采用事件研究法分析了证券分析师推荐股票的总体特征,运用朴素贝叶斯分类(NBC)方法筛选出符合分析师荐股特征的股票,对筛选出的股票收益率进行显著性检验。实证结果表明,与证券分析师推荐的股票和深证成指相比,基于定单流的股票选择方法筛选的股票能获得更高的收益率,而且能通过显著性检验。
The flow of funds is one of the key concerns of securities analysts and large investors.This paper introduces the order flow indicator to describe the flow of funds and proposes a stock selection method based on order flow,and conducts an empirical analysis.This paper uses event study to analyze the general characteristics of the stocks that securities analysts recommend,and use Naive Bayesian Classifier（NBC） method to screen out the stocks in line with analysts recommendation.This paper conducts a significance test on return of the selected stocks.The empirical results show that,compared with analysts＇ recommendation of the stocks securities and Shenzhen Component Index,the selected stocks based on order flow can gain higher return,and passes the significance test.
出处
《系统工程》
CSSCI
CSCD
北大核心
2011年第11期7-14,共8页
Systems Engineering
基金
四川省软科学研究计划项目(2008ZR0016)
关键词
资金流向
定单流
朴素贝叶斯分类
股票选择
The Flow of Funds
Order flow
Naive Bayesian Classifier
Stock Selection
