价值投资：中国A股市场的实证

发布时间：2018-02-27 15:01

本文关键词： 价值投资超额收益 CAPM模型两因素模型机构投资者个人投资者　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：已有的研究表明价值投资在多数成熟市场和新兴市场能获得超额收益,并存在两种对超额收益的解释。中国股票市场日趋成熟,价值投资理念逐渐得到重视,本文基于市盈率P/E、市净率P/B、市销率P/S、市现率P/C和加权平均销售增长率WASG五个指标划分价值股与成长股,对价值投资在中国的实践进行了系统的研究。一方面,通过一维分组、二维分组分析了价值股组合对成长股组合的超额收益情况,运用回归分析研究了各指标对股票收益率的影响,引入CAPM模型及两因素模型解释了价值投资可行性的原因。另一方面,通过构造机构组合与个人组合,并将二者与价值组合、成长组合进行收益率对比,以及剖析二者持股价值指标的分档情况,研究了A股市场机构投资者与个人投资者的价值投资实践现状,并分析了其背后的原因。研究表明,价值投资在A股市场是可行的,价值股组合对成长股组合的超额收益源于价值股组合的风险高于成长股组合；A股市场机构投资者与个人投资者都偏好成长性股票,其原因在于机构投资者的短视行为、过度自信、以及个人投资者的非理性投资。
[Abstract]:Existing studies have shown that value investment can obtain excess returns in most mature markets and emerging markets, and there are two explanations for excess returns. Based on the five indexes of P / E, P / B, P / S, P / C and WASG, this paper makes a systematic study on the practice of value investment in China. This paper analyzes the excess return of the value stock portfolio on the growth stock portfolio, and studies the influence of each index on the stock yield by using regression analysis. CAPM model and two-factor model are introduced to explain the feasibility of value investment. The paper analyzes the status quo of value investment of institutional investors and individual investors in A share market, and analyzes the reasons behind it. The research shows that value investment is feasible in A share market. The excess return of the value stock portfolio to the growth stock portfolio is due to the higher risk of the value stock portfolio than the growth stock portfolio, and both institutional investors and individual investors prefer growth stocks, which is due to the short-sighted behavior of the institutional investors. Overconfidence, and irrational investment by individual investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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