中国股市价值投资策略的绩效研究

发布时间：2018-04-03 09:35

本文选题：价值投资　切入点：绩效研究　出处：《复旦大学》2013年硕士论文

【摘要】：金融市场的有效性一直以来都是中西方学者研究的重点所在,一些经典的模型,如CAPM,F/F三因素模型在一定程度上解释了投资组合超额收益的来源。但随着证券市场的发展,市场上出现了许多经典模型无法解释的现象,证券市场的有效性再一次受到挑战。在各种投资组合获得超额收益的案例中,股票的收益率与某些财务指标的大小成反比这一种现象受到了金融研究人员的关注。基于这种现象,Graham在20世纪30年代提出了价值投资策略,这种投资方式在著名投资大师Warren Buffeit推广下在全世界范围内受到广泛认可。在这种背景下,本文尝试在中国A股市场上使用多种财务指标构建价值投资组合,检验其是否对成长组合有超额收益,并尝试在传统模型中加入新解释变量来对价值组合和成长组合的收益差进行拟合,寻找价值投资策略超额收益的来源。本文首先对金融市场有效性和价值投资策略的相关理论进行了梳理,加深了对金融市场有效的具体定义、前提条件、检验手段的了解,同时也对多种价格异常现象如规模效应等加深了认识,了解了价值投资策略在全球的适用性情况。接下来本文采用五种财务指标：市盈率/市净率/市现率/收入增长率/净资产收益率构建价值组合和成长组合,并验证价值组合相对成长组合是否存在超额收益,结果显示市净率和市现率构建的价值组合有明显的超额收益；本文还将市场分为成长/稳定/周期/金融/消费五个板块进行分析,结果显示在除周期板块以外的所有风格板块中,价值投资策略都有效。最后本文采用CAPM和Fama-French三因素模型对价值组合相对成长组合的超额收益进行拟合。结果结果显示CAPM模型对价值组合与成长组合的收益率差距解释能力不足,加入规模效应和市净率因子的Fama-French三因素模型使所有组合的拟合度上升。我们分别在CAPM和F/F三因素模型中加入换手率和分红比率这两个解释变量对超额收益进行拟合。结果显示加入换手率因子的CAPM模型和Fama-French三因素模型对价值组合和成长组合的收益差距的拟合优度提高。对加入分红比率因子的模型进行拟合后笔者发现分红比率因子的显著度相比换手率因子较弱,对拟合优度的提升水平也不如换手率因子强。
[Abstract]:The effectiveness of financial markets has always been the focus of Chinese and Western scholars. Some classical models, such as CAPMF / F three-factor model, explain the origin of portfolio excess returns to some extent.However, with the development of the securities market, there are many phenomena that cannot be explained by the classical model, and the validity of the securities market is challenged again.In the case of various portfolio earning excess returns, the phenomenon that the return rate of stocks is inversely proportional to the size of some financial indicators has attracted the attention of financial researchers.Based on this phenomenon, Graham put forward the strategy of value investment in the 1930s, which is widely accepted in the world under the promotion of famous investment master Warren Buffeit.In this context, this paper attempts to use a variety of financial indicators to build a portfolio of value in China's A-share market, to test whether it has excess returns on the growth portfolio.And try to add new explanatory variables to the traditional model to fit the income difference between the value combination and the growth portfolio to find the source of the excess return of the value investment strategy.This paper firstly combs the relevant theories of financial market effectiveness and value investment strategy, and deepens the understanding of the specific definition, precondition and test means of financial market effectiveness.At the same time, we also have a deeper understanding of various price anomalies, such as scale effect, and understand the applicability of value investment strategy in the world.Next, this paper uses five financial indicators: price-to-earnings ratio / price-to-book ratio / current rate / income growth rate / return on net assets to construct value combination and growth portfolio, and verify whether there is excess return in relative growth portfolio of value portfolio.The results show that the value combination constructed by price-to-book ratio and current rate has obvious excess returns, and the market is divided into five parts: growth / stability / cycle / finance / consumption.The results show that the value investment strategy is effective in all styles except the cycle plate.Finally, the CAPM and Fama-French models are used to fit the excess return of the relative growth portfolio of the value combination.The results show that the CAPM model has insufficient ability to explain the yield gap between value combination and growth portfolio. The Fama-French three-factor model with scale effect and price-to-book ratio factor increases the fitness of all combinations.We add two explanatory variables, the turnover rate and the dividend ratio, to the CAPM and F / F models to fit the excess returns.The results show that the CAPM model with turnover factor and the Fama-French three-factor model improve the goodness of fit of the income gap between the value combination and the growth portfolio.After fitting the model with dividend ratio factor, the author found that the significance of dividend ratio factor is weaker than that of turnover factor, and the promotion level of fit is not as strong as turnover factor.
【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

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