PEG指标于A股市场的择股有效性研究

发布时间：2018-02-09 09:58

本文关键词： PEG 行业风格个股收益率行业指数收益率　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：市盈率指标是价值投资流派最重要的投资指标,在股票估值以及选股方面已经得到广泛应用。市盈率指标应用于股票投资的一个主要缺陷在于单纯从这一指标来看并不能得出结论该股票估值相对于盈利增速是否合理。虽然DDM估值模型推导出的市盈率计算公式内包含了盈利增长速度g,但是股价的涨跌并非来源于市盈率水平抑或盈利增长速度的高低,而是由市盈率水平和盈利增长速度两者是否匹配所决定,这正是PEG指标(市盈率增长速度比)得以应用的现实背景。具体到国内研究而言,目前有关PEG指标与股票投资收益率之间关系的研究较少,为数不多的研究所用方法也局限于构建投资组合并进行简单的对比。严格来讲,PEG指标应该用期初市盈率除以未来一期的预测增长率计算,过往的研究受制于现实条件,通常采用滞后一期的盈利增长率计算PEG指标,实际上这与PEG的内涵是相违背的。为了克服这一缺陷,本文采用资本研究市场上分析师的预测值计算股票的盈利预测增长率,继而计算PEG值。为了验证PEG指标的择股有效性,本文先是利用描述性统计手段初步分析了个股PEG水平与相应持有期的收益率,继而利用面板数据建立回归方程,研究个股在不同持有期内的收益率与相应持有期初的PEG指标之间的关系。研究结论主要依赖于回归方程中解释变量PEG指标前面系数是否显著以及数值的正负。为了更全面细致的研究,具体建模时本文从持有期的长短(1个月,3个月,6个月以及1年)与样本股票的行业属性(成长性、周期性以及其它类别)两个维度分类建模,最终结果表明成长性样本内3个月、6个月的模型PEG前系数显著,这说明在对成长性股票进行中短期投资时,PEG是一个有效的参考指标,而其它样本模型PEG变量前的系数并不显著,即PEG指标的投资参考价值不大。另外值得注意的是,成长性样本内PEG指标前的系数为正,这与通常的观点相左。人们通常认为低PEG值代表公司股价相对于未来的盈利增长速度被低估,在一段持有期后,投资者理应收获更高的收益率。Fuller(1993)曾经从市盈率的角度得出与本文类似的结论：高市盈率反而意味高收益。他的解释是高市盈率往往意味着高成长,投资者更喜欢追逐这类股票。本文其它样本模型PEG指标前的系数均为负,这与传统观点是一致的。
[Abstract]:The price-earnings ratio index is the most important investment index of the value investment school. It has been widely used in stock valuation and stock selection. One of the main drawbacks of the price-earnings ratio index used in stock investment is that it cannot be concluded that the valuation of the stock is relative to the growth rate of earnings. This is reasonable. Although the formula for calculating the price-to-earnings ratio derived from the DDM valuation model contains the earnings growth rate g, the price rise and fall of the stock price is not due to the level of the price-to-earnings ratio or the level of the earnings growth rate. It is decided by whether the level of price-earnings ratio and the growth rate of earnings match, which is the real background of the application of PEG index (the ratio of price-to-earnings ratio). At present, there are few studies on the relationship between the PEG index and the return on stock investment, and the few research methods are limited to the construction of investment portfolio and simple comparison. Strictly speaking, pegs should be calculated by dividing the price-to-earnings ratio by the forecast growth rate in the next period. Previous studies have been constrained by practical conditions. Usually, the PEG index is calculated by the rate of earnings growth in the lagging period. In fact, this is contrary to the connotation of PEG. In order to overcome this defect, this paper uses the forecast value of analysts in the capital research market to calculate the forecast growth rate of stock earnings, and then calculates the value of PEG. In this paper, the PEG level of individual stock and the return rate of corresponding holding period are preliminarily analyzed by descriptive statistical method, and then the regression equation is established by panel data. This paper studies the relationship between the return rate of individual stock in different holding periods and the corresponding PEG index at the beginning of holding period. The conclusion of the study mainly depends on whether the coefficient in front of the variable PEG index is significant or not in the regression equation and the positive and negative values. For a more comprehensive and detailed study, this paper classifies the length of the holding period (1 month, 3 months, 6 months and 1 year) and the industry attributes (growth, periodicity and other categories) of the sample stock. The final results show that the PEG coefficients of the growth model in 3 months and 6 months are significant, which indicates that the PEG is an effective reference index in the medium and short term investment of growth stocks, but the coefficients before the PEG variables of other sample models are not significant. That is, the investment reference value of the PEG index is not large. In addition, it is worth noting that the coefficient before the PEG index in the growth sample is positive, This is contrary to the conventional view that low PEG values mean that the company's share price is undervalued relative to future earnings growth, after a period of time. Investors deserve a higher yield. Fullern 1993) has drawn a similar conclusion from the price-to-earnings ratio: high price-earnings ratio means high yield. His explanation is that high price-earnings ratio often means high growth. Investors prefer to pursue such stocks. The coefficients before the PEG index of other sample models in this paper are all negative, which is consistent with the traditional view.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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