A Study Of Factor Model And Investment Strategy Based On Individual Stock Cash Inflow-outflow Imbalance

Behavioral finance has gradually received the attention of domestic and foreign academia and financial practice.Using actual transaction data in the financial market to construct behavioral indicators,and examine the impact of related indicators on the asset prices has gradually become a research hotspot in behavioral finance.As important technical analysis factors,cash inflow and cash outflow reveal compete of multi-empty parties in the market,and have a systematic impact on asset prices.This paper attempts to construct the cash inflow-outflow imbalance index in Chinese stock market,and further studies the influence of individual stock cash inflow-outflow imbalance on individual stock price.Firstly,this paper constructs the individual stock cash inflow-outflow imbalance index using the individual stock exchange data of Chinese stock market,and establishes the corresponding factor pricing model based on the cash inflow-outflow imbalance index.This paper empirically studies the cross-sectional effect of the individual stock cash inflow-outflow imbalance index on the excess return of individual stock.Secondly,this paper constructs a factor pricing model based on the individual stock cash inflow-outflow imbalance index and individual stock investor sentiment.This paper empirically studies the cross-sectional effect of individual stock cash inflow-outflow imbalance index and individual-stock investor sentiment on excess returns.Finally,from the perspective of active portfolio management,this paper constructs a quantitative stock selection strategy based on the individual stock cash inflow-outflow imbalance index.The results of this study show that:(1)The individual stock cash inflow-outflow imbalance index have an important systematic impact on the excess returns;There is a significant positive correlation between the individual stock cash inflow-outflow imbalance index and excess return.(2)The individual stock cash inflow-outflow imbalance index and individual stock investor sentiment will jointly affect the individual stock excess return.The excess returns of individual stocks will increase with the individual stock cash inflow-outflow imbalance index and the increase of individual stock investor sentiment.(3)From the research conclusion of return attribution,it can be seen that compared with the market portfolio,a kind of quantitative portfolio based on the individual stock cash inflow-outflow imbalance index can obtain stable excess returns.This paper explains the excess returns of individual stocks from the perspective of cash inflow-outflow imbalance,and enriches the pricing theory of behavioral assets.It is also helpful for financial market managers and participants to better understand the impact of investment behavior on stock returns in the stock market.