中国公司市盈率：经验证据

发布时间：2018-12-29 13:42

【摘要】：市盈率作为金融市场中对公司价值、风险、收益判断的重要指标,在越来越重视价值投资的国内股票市场越发重要。本文基于我国A股市场160家上市公司2004年-2010年的面板数据,对市盈率的影响因素和市盈率对投资收益的预测性进行了研究。首先以股票定价理论出发,结合现有文献分析市盈率的内涵和特征,总结并归纳市盈率的影响因素,然后通过实证发现市盈率与每股收益增长率、公司所在行业市盈率、通货膨胀率、消费者信心指数正相关,与加权贷款利率负相关,这些与假设是一致的。也就是肯定了公司层面、宏观经济层面、投资者预期因素都会影响市盈率,但是本文认为其中公司层面的影响因素才是最主要的决定因素。与理论假设不一致的观点是：1.盈利能力方面,净资产收益率和市盈率负相关,每股收益和市盈率关系不定,可能的解释有暂时性盈利、会计准则、市场投机氛围等因素；2.风险BETA系数与市盈率正相关,可能的解释为CAPM模型在股票市场中并不成立；3.流通股规模并不影响市盈率,股权分置改革的成功可以解释这个问题；4.GDP的增长率对市盈率有显著影响,但是方向并不定。随后通过建立股票收益和市盈率以及其他变量的回归方程,验证了利用市盈率预测股票收益总体是有效的,但是对于不同行业和不同时间段是不一样的。从行业角度来看,15个行业中只有电子和机械设备两个行业并不显著,其他行业都显著。通过检查回归在各年的效果,发现市盈率在牛市中预测能力不如熊市。通过构建高、低市盈率投资组合并计算其后各期的收益,发现收益率差距在牛市中缩小,在熊市中扩大,表现为在牛市中低市盈率股票组合的投资收益要比高市盈率投资组合更高,而在熊市中高市盈率的股票组合投资收益更高。最后结合本文的结论和中国实际给出了具体的政策建议。
[Abstract]:As an important index to judge the company value, risk and income in the financial market, the price-earnings ratio is becoming more and more important in the domestic stock market, where more and more attention is paid to the value investment. Based on the panel data of 160 listed companies in China's A-share market from 2004 to 2010, this paper studies the influencing factors of P / E ratio and the prediction of P / E ratio to investment returns. Based on the stock pricing theory, this paper analyzes the connotation and characteristics of the price-earnings ratio, summarizes and induces the influencing factors of the price-earnings ratio, and then finds out that the price-earnings ratio and the growth rate of earnings per share, the price-earnings ratio of the industry in which the company belongs. Inflation and consumer confidence are positively correlated and negatively correlated with weighted loan rates, which are consistent with assumptions. That is to say, the company level, macroeconomic level, investors' expectation factors will affect the P / E ratio, but this paper believes that the most important determinant factor is the corporate level. The point of view that is inconsistent with the theoretical hypothesis is: 1. In terms of profitability, the return on net assets is negatively correlated with the price-earnings ratio, and the relationship between earnings per share and price-to-earnings ratio is uncertain. The possible explanations are temporary earnings, accounting standards, market speculative atmosphere and other factors. 2. The risk BETA coefficient is positively correlated with the price-earnings ratio, which may be explained by the fact that the CAPM model does not hold true in the stock market. The scale of tradable shares does not affect the price-earnings ratio, which can be explained by the success of the split share structure reform; the growth rate of 4.GDP has a significant effect on the price-earnings ratio, but the direction is uncertain. Then by establishing the regression equation of stock return, price-earnings ratio and other variables, it is proved that it is effective to predict stock returns by using P / E ratio, but it is different for different industries and different time periods. From an industry point of view, the 15 industries only electronics and mechanical equipment industry is not significant, the rest of the industry is significant. By checking the effect of regression in each year, we find that the forecasting ability of P / E ratio in bull market is not as good as that in bear market. By constructing a portfolio of high and low price-to-earnings ratios and calculating the earnings for subsequent periods, it is found that the gap between returns shrinks in the bull market and widens in the bear market. It is shown that in bull market, the return of stocks with low P / E ratio is higher than that with high P / E ratio, and that with high P / E ratio in bear market is higher than that with high P / E ratio in bear market. Finally, combined with the conclusion of this paper and the actual situation in China, the specific policy recommendations are given.
【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】：F275;F832.51;F224

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