公司高质量发展水平能否预测其股票市场表现——基于机器学习方法

Can a Company’s Level of High-Quality Development Predict Its Stock Market Performance?A Study Using Machine Learning Methods

从高质量发展理念出发,基于“创新、协调、绿色、开放、共享”五大新发展理念建立高质量发展指标体系,应用九种机器学习方法对股票收益率进行预测,并对指标体系各变量的重要性、成分预测能力的变化以及预测能力来源进行探究。结果表明,公司高质量发展水平对股票收益率具有显著预测能力;创新类指标是预测股票收益率的最重要类别;除股市动荡时期外,公司高质量发展水平对股票市场预测能力较为稳定且有增强趋势。从成分预测能力来看,创新类与绿色类指标的预测能力增强,协调类指标预测能力下降;高质量发展水平可以预测公司未来基本面变化,但投资者对该部分信息反应不足,这种错误定价是高质量发展指标体系预测能力的来源。建议完善资本市场定价机制,使公司的高质量发展水平得到充分定价。

Building on the concept of high-quality development,this study constructed an index system guided by five core development principles:“Innovation,Coordination,Sustainabili⁃ty,Openness,and Inclusivity.”We employed nine machine learning techniques to forecast stock returns,investigating the importance of each variable in the index system,fluctuations in predic⁃tive power,and the origins of this forecasting capability.The findings reveal that a company’s lev⁃el of high-quality development significantly impacts its stock market performance.Notably,indi⁃cators related to innovation emerge as the most critical for forecasting stock returns.Except during times of market turbulence,the predictive accuracy stemming from high-quality development lev⁃els was fairly stable and even showed signs of improvement.From a component-wise perspec⁃tive,the predictive strength of innovation and sustainability indicators increased,whereas coordi⁃nation indicators are losing their forecasting power.The level of high-quality development can in⁃deed forecast a company’s future fundamental shifts;yet,the market appears to underreact to this valuable information.This market mispricing serves as the source of the predictive power of our high-quality development index.We therefore recommend refining the capital market’s pricing mechanisms to better account for a company’s level of high-quality development.