基于财务报表信息的二维价值投资策略在中国股市的实证检验

发布时间：2018-05-23 12:21

本文选题：价值投资策略 + 价值股　；参考：《复旦大学》2013年硕士论文

【摘要】：从一般意义上来说,具有较高账面市值比B/M,市盈率倒数E/P,股利股价比D/P,或现金流量股票价格比C/P的股票称为价值股,这些股票的价格被低估了,低于它们的内在价值。相应的各种比率较低的股票称为魅力股。价值投资策略就是买入价值股并持有一段时间,在这段时间内同时卖空魅力股,来获得超额收益。本文通过实证方法证明了,在中国股市2006年到2010年这段样本区间内,分别按B/M,E/P,C/P值划分的价值投资策略,在一年期和三年期的时间窗口上都能够取得显著的超额收益。除此之外,本文构建了引入股票成长性的二维价值投资策略。该策略在一年期和三年期时间窗口上都分别取得了大于普通价值投资策略的超额收益。这说明按照这种方法对普通价值投资策略进行细化,能够在普通价值投资策略的基础上取得更大的超额收益。本文说明了,在本文选定的这段样本区间内,按B/M,E/P,C/P值划分的价值投资策略和在此基础上的引入成长性的二维价值投资策略在中国股市都是非常有效的。按D/P划分的价值投资策略以及基于D/P和成长性的二维价值投资策略在一年期和三年期窗口收益都是负的,这跟中国上市公司股利分派不规范有关。文章结构如下：第一章是绪论,提出了要讨论的问题,阐述了选题的目的和意义,交代了文章的框架。第二章介绍了价值投资理论和实践的沿革。第三章为文献综述,总结了国外国内对价值投资策略超额收益的研究成果。第四章是实证部分,介绍了数据来源,研究思路和模型,展示和分析了得到的实证结果。第五章是结论,对全文进行了总结,指出了不足之处和改进方向。
[Abstract]:Generally speaking, stocks with higher book market value than B / M, P / P, P / P, P / P or C / P are called value stocks, and the prices of these stocks are undervalued and lower than their intrinsic values. The corresponding lower ratios of stocks are called glamour stocks. A value strategy is to buy value stocks and hold them for a period of time, during which time you can short glamour stocks to get excess returns. This paper proves that in the sample range of Chinese stock market from 2006 to 2010, the value investment strategy divided by B / M / E / P / P value can achieve significant excess returns in the one-year and three-year time window. In addition, this paper constructs a two-dimensional value investment strategy with stock growth. The excess returns of the strategy are higher than those of the ordinary value investment strategy in one year and three years respectively. This shows that the ordinary value investment strategy can be refined according to this method, and more excess returns can be obtained on the basis of the ordinary value investment strategy. In this paper, it is shown that the value investment strategy divided according to B / M / P / P value and the two-dimensional value investment strategy based on the introduction of growth are very effective in the Chinese stock market in the sample interval selected in this paper. The value investment strategy classified by D / P and the two dimensional value investment strategy based on D / P and growth are both negative in one year and three years, which is related to the non-standard dividend distribution of listed companies in China. The structure of the article is as follows: The first chapter is the introduction, which puts forward the problems to be discussed, expounds the purpose and significance of the topic, and explains the framework of the article. The second chapter introduces the evolution of the theory and practice of value investment. The third chapter is a literature review, summarizing the foreign and domestic research results of value investment strategy excess returns. The fourth chapter is the empirical part, introduces the data sources, research ideas and models, shows and analyzes the empirical results. The fifth chapter is the conclusion, summarizes the full text, points out the deficiency and the improvement direction.
【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

【参考文献】