在投资中，细节往往决定成败，正如电影《F1: 狂飙飞车》凭借对车库、维修区等细节的极致还原，成就了真实刺激的观感。研报中提到的财务附注，就像财报里的 “隐藏细节”，虽常被忽视，却藏着影响投资判断的关键信息。研报中，兴业证券团队通过构建包含 678 个指标的数据库，从财务附注中挖掘出静态因子与动态因子两类核心选股指标。静态因子聚焦 “某一时点的结构占比”，如货币资金中境外资金占比、固定资产中机器设备占比等，反映企业当前财务结构的合理性；动态因子则关注 “结构占比的变动趋势”，如存货中产成品占比的同比变化、应收账款坏账占比的上升幅度等，捕捉企业财务状况的潜在变化。二者结合形成的 “财务附注结构质量因子”，在 2015-2024 年回测中展现出 3.3% 的年化超额收益，且与其他因子相关性低，具备独特参考价值。此外，研报还提到 “发布效应”：企业是否披露某些指标本身就是信号，例如披露坏账准备的公司，后续更可能出现负向超额收益。对于普通投资者，关注财务附注中的细分结构、特殊指标及披露行为，可挖掘被忽略的投资机会。如需研报原文或更多量化资料，可关注相关平台获取详细内容。【在这里找到我们】公众号：Quantide 量化风云小红书：Quantide哔哩哔哩：Quantide
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