Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 50-60

基于供应链动量和运筹金融的股票异常收益率

作者：Antti Paatela, Ari-Pekka Hameri, Elias Noschis (The University of Lausanne in Lausanne, Switzerlan)

摘要：对投资者而言，了解公司的供应链是有好处的。在这篇文章中，作者提出了一种新的交易方法，即只有当一个公司的主要客户的季度销售额表现良好时才购买该公司的股票。除去构建基于供应链的投资组合过程中产生的交易成本后，这种方法产生的回测年收益率比市场收益率高出8.7%。这种方式构建的投资组合与市场几乎不相关，并且风险调整后的异常收益率是稳健的。至少对于那些高度依赖于其主要客户的美国中小市值制造业上市企业而言，这一交易策略是可行的。作者回顾了以往的文献，并没有发现有研究采用过类似的方法，从而证实了这种基于事实的基本方法的新颖性。

Abnormal Stock Returns Using Supply Chain Momentum and Operational Financials

Antti Paatela, Ari-Pekka Hameri, Elias Noschis (The University of Lausanne in Lausanne, Switzerlan)

ABSTRACT

Knowledge about a company’s supply chain provides an edge for investors. In this article, the authors propose a new trading approach in which a company’s stock is purchased only if its main customer’s quarterly sales evolve favorably. This method yields backtested annual returns in excess of 8.7% to the market return, net of real world transaction costs for a stock portfolio built on supply chain considerations. This portfolio is practically uncorrelated with the market, and the abnormal return is robust for risk adjustment. The method is applicable at least to U.S.-listed small- and mid-cap product-manufacturing companies with a strong dependency on their main customer company. According to the authors, a review of past publications could not identify research applying a similar method, thereby confirming the novelty of this fundamental facts-based approach.

原文链接：http://www.iijournals.com/doi/full/10.3905/jpm.2017.43.2.050

翻译：唐国梅