惯性效应、择时策略与投资价值——基于农业板块股票的实证研究

Momentum Effect,Timing Strategy and Investment Value——An Empirical Study Based on Agricultural Stock Market

股票市场中农业上市公司整体表现欠佳,尤其2017年獐子岛、西部牧业等农业股票业绩未达预期,对农业板块负面影响较大。利用农业板块股票周数据,分析农业上市公司投资价值和筹资水平。结果表明,农业上市公司股票发行规模较小,筹资能力较弱;建立农业股票组合后发现,总市值、流动性均与农业股票组合收益率正相关,但波动率与组合收益率呈倒"U"型关系,成交量与组合收益率关联度较弱。股票市场是农业上市公司最佳筹资方式,农业上市公司经营效益直接关系农业发展、乡村振兴。因此,农业上市公司应适当调整股票市值,增强流动性,控制风险,使农业股票更具投资价值;机构投资者选择证券时加入农业股票,既可获得超额组合投资收益,又可提高农业上市公司筹资能力。

The performance of agricultural listed companies was not satisfied in Chinese stock market for quite a long time. In 2017, the performance of agricultural stocks, such as Zhangzi Island and Western Animal Husbandry was not up to expectations, which leading to great negative in the agricultural sector.Investment value and financing ability were analyzed by using weekly data of agricultural stocks. The results showed that the stock issuance scale of agricultural listed companies was small and their financing abilities were weak. After establishing the agricultural stock portfolio, it could be found that the total market value and liquidity were positive correlated with the portfolio yield, but the volatility and the portfolio yield were inversed U-shaped, and the correlation between the volume and the portfolio yield was weak. Stock market was the best way for agricultural listed companies financing. The agricultural developing and rural promoting related to the operating efficiency of agricultural listed companies. Those were important for agricultural listed companies to adjust the market value, enhance liquidity and control risks. Furthermore, the institutional investors with the portfolio involving of agricultural stocks could rise profit, and could improve the financing abilities of agricultural listed companies.