价值投资策略在中国股票市场的实证分析

发布时间：2018-06-01 21:32

本文选题：价值投资 + 账面市值比　；参考：《江西财经大学》2012年硕士论文

【摘要】：1990年11月26日上海证券交易所的成立标志着我国证券市场的正式形成。从1990年到2011年这21年里,中国股市经历了从无到有,由无人问津直至炒作盛行,由政策市主导直至股权分置改革、股指期货的推出。在这21年间上证指数年均增长率为17.5%,A股市场市值从最低点的1470亿到最高点的457799亿,取得了很大的进步。然而2011年的中国股市可以用一句话来概括：一夜回到十年前。截止到2011年12月30日,上证综合指数全年下跌20%,收盘点数创三年半以来新低,而且上证指数回到10年前的水平。我国股市估值长期偏高,平均市盈率经常达到数十倍,但是现在已经降低到历史最低水平,与国际上的主要市场基本相当,具备了长期投资价值,倡导理性投资遇到了最好时机。价值投资作为一种理性投资理念,在国外市场已经证明了其有效性。引导广大投资者运用价值投资策略对于优化股票市场资源配置有着非常重要的现实意义。为此本文将对价值投资策略在我国股票市场适用性进行实证研究,并提出相应的政策建议。本文分为六章,具体内容如下：第一章引言。主要论述了本文的研究背景及意义,阐述了国内外关于价值投资策略的研究现状,并对研究现状分别从价值投资策略能否在股票市场中获得超额收益以及超额收益来源两个方面进行分类总结。同时指出了本文的研究内容、研究方法、研究思路及创新与不足之处。第二章价值投资理论概述。首先叙述了国外学者提出的价值投资理论假设及含义,分析了巴菲特、格雷厄姆和费雪的价值投资理论及其异同,并阐明了后文实证研究中将采用的股票划分指标。第三章我国股票市场价值投资适用性分析。首先描述了价值投资理念在我国发展经过的萌芽期、接受期、追捧期、质疑期等四个时期。其次根据我国现状分析了价值投资理念在我国证券市场的可行性。最后阐述了价值投资理念对我国股市发展的意义。价值投资具有稳定股市、促进上市公司质量提高以及改进投资者投资收益等重要意义。第四章价值投资策略在中国股市适用性的实证研究。本章分为两部分,第-部分首先借鉴Fama和French的研究方法运用账面市值比(B/M)、每股收益与股价(E/M)作为研究指标划分价值投资组合与成长投资组合。根据Fama与French的研究,B/M、E/M值高的公司为价值投资股票,B/M、E/M值低的公司为成长投资股票。本文将A股市场股票B/M、E/M值最大的前30只股票组成价值投资组合,将B/M、E/M值最小的30只股票组成为成长投资组合。分别统计两个组合每年的收益率。因为本文需要计算组合构建后三年的收益率,所以本文只能计算01至08年两个组合的收益率。最后统计发现价值投资组合相对于成长性投资组合取得了超额收益率。证明价值投资策略在我国股票市场是适用的,可以取得超额收益率。第二部分对超额收益率进行理论解释。对于这部分超额收益率的来源学术上主要有两种解释。一是以Fama和French为代表的“风险改变假说”,这种解释从收益与风险相匹配的角度来解释超额收益,坚持有效市场理论,属于现代标准金融学的范畴。另一种是以De Bondt和Thaler为代表的“过度反应假说”,这种解释从投资者非理性行为角度解释超额收益率。这部分首先借鉴Fama与French的三因子模型采用前文数据进行回归,实证结果发现传统的CAPM模型对超额收益率解释能力较弱,价值投资组合相对于成长投资组合的超额收益率是由于其不同的B/M值决定的。然后本文采用De Bondt与Thaler的“过度反应假说”检验两个组合的超额收益率,将两种组合在检验其一年的平均累计收益率表示在同一张图中,发现图形并没有表现出过度反应。实证结果也与“过度反应假说”不相符。第一部分实证结果证明了在我国股票市场价值投资组合相对于成长投资组合超额收益的存在。第二部分发现可以用Fama和French为代表的“风险改变假说”解释这种超额收益。第五章结论及政策建议。首先依据本文理论分析和实证分析得出价值投资策略在我国股票市场可以取得超额收益,证明了价值投资在我国股票市场是适用的。超额收益可以由Fama和French为代表的“风险改变假说”解释。最后提出促进资本市场健康发展,推动价值投资理念普及的政策建议。
[Abstract]:The establishment of the Shanghai stock exchange in November 26, 1990 marked the formal formation of the stock market in China. From 1990 to 2011, China's stock market has gone through no arrival, from no one to another until the hype, from the policy market to the split share reform and the introduction of stock index futures. The average annual growth rate of the Shanghai Stock Exchange Index in these 21 years is the same. 17.5%, the market value of the A share market has made great progress from the lowest 147 billion to the highest point of 457799 billion. However, the Chinese stock market in 2011 can be summed up in one word: ten years ago. By December 30, 2011, the Shanghai Composite Index fell 20%, the number of closing points was a new low of three and a half, and the Shanghai stock index returned to 10. The value of the stock market in China has long been high, and the average p / E ratio often reached dozens of times. But it has now been reduced to the lowest level in history, basically equivalent to the main market in the world. It has the value of long-term investment and the best time to advocate rational investment. As a rational investment concept, the value investment has already been in the foreign market. It is very important to guide the investors to use the value investment strategy to optimize the allocation of stock market resources. This paper will make an empirical study on the applicability of the value investment strategy in China's stock market, and put forward the corresponding policy proposals.
This article is divided into six chapters, and the specific contents are as follows:
The first chapter introduces the background and significance of the study, expounds the status of the research on value investment strategy at home and abroad, and classifies the current research status from two aspects: whether the value investment strategy can obtain excess income and the excess income source in the stock market, and points out the research content of this paper. Research methods, research ideas, innovation and inadequacies.
The second chapter is an overview of value investment theory. First, it describes the hypothesis and meaning of value investment theory proposed by foreign scholars, analyses the value investment theory and similarities and differences of Buffett, Graham and Fisher, and clarifies the index of stock division that will be used in the later empirical research.
The third chapter analyses the applicability of the value investment in China's stock market. First, it describes the germination period, the acceptance period, the pursuit period and the query period of the value investment concept in China. Secondly, it analyzes the feasibility of the value investment concept in our country's securities market according to the status of our country. Finally, it expounds the value investment concept to our country stock. The significance of city development is that value investing has the important significance of stabilizing the stock market, improving the quality of listed companies and improving the investment income of investors.
The fourth chapter is an empirical study of the applicability of the value investment strategy in the Chinese stock market. This chapter is divided into two parts. The first part first uses the Fama and French research methods to use the book market value ratio (B/M), the earnings per share and the stock price (E/M) as the research indicators to divide the portfolio and the growth investment portfolio. According to the research of Fama and French, B/M, E/M is high. The company for the value investment stock, B/M, the low E/M value company for the growth investment stock. In this paper, the A share market shares B/M, the top 30 shares of the largest E/M value portfolio, the B/M, the minimum of the E/M value of the 30 stocks are composed of the growth investment portfolio. Statistics two combinations annual yield respectively. Because this paper needs to calculate the combination construction. The rate of return for the last three years, so this article can only calculate the yield of two combinations of 01 to 08 years. Finally, the statistics found that the value investment portfolio has obtained the excess return relative to the growth investment portfolio. It is proved that the value investment strategy is applicable in the stock market of our country, and the excess rate of income can be obtained. The second part is reasonable to the excess return rate. There are two main explanations for the source of this part of the excess return. One is the "risk change hypothesis" represented by Fama and French, which explains the excess returns from the angle of the match between the income and the risk, and adheres to the effective market theory, which belongs to the category of modern standard quasi finance. The other is De Bondt and Th. Aler is the "overreaction hypothesis", which explains the excess return rate from the perspective of investor's irrational behavior. This part first uses the three factor model of Fama and French to return the previous data. The empirical results show that the traditional CAPM model has weak interpretation ability to the excess return, and the value investment portfolio is relative to the growth. The excess return rate of the portfolio is determined by its different B/M values. Then this paper uses the "overreaction hypothesis" of De Bondt and Thaler to test the excess return rate of two combinations, and the average cumulative yield of the two combinations in the same picture for one year, and the occurrence pattern does not show excessive reaction. The results also are not consistent with the "overreaction hypothesis". The first part of the empirical results proves the existence of excess returns in the stock market value portfolio in China relative to the growth investment portfolio. The second part finds that the excess returns can be explained by the "risk change hypothesis" represented by Fama and French.
The fifth chapter and policy suggestion. First, according to the theoretical analysis and empirical analysis, the value investment strategy can obtain excess returns in our stock market, which proves that the value investment is applicable in the stock market of our country. The excess income can be explained by the "risk change hypothesis" represented by Fama and French. Finally, it puts forward the promotion of investment. The healthy development of the market and policy recommendations to promote the popularization of value investment.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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