我国A股市场价值投资绩效研究

发布时间：2018-01-04 02:32

本文关键词：我国A股市场价值投资绩效研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

更多相关文章： 价值投资 价值组合 成长组合 LSV

【摘要】：价值投资是世界上应用最广泛的投资方法之一，在西方成熟资本市场，价值投资的有效性从实践上和理论上都得到了验证。由于我国大部分投资者缺乏正确的投资理念，不仅未能从A股的快速发展中获利，反而遭受了大幅亏损。西方资本市场的经验表明，价值投资是分享经济长期发展红利的有效投资方法，但如果要让我国投资者接受价值投资，就必须对其在A股市场的实际投资绩效是否能够显著改善投资者业绩进行研究。本文借鉴LSV(1994)[1]的方法，选取了我国A股市场1994年7月至2011年6月的数据对价值投资在我国是否可行进行了检验。首先将所有股票分别按照E/P、B/M、S/P、CF/P值结合行业因素以及这四个指标两两组合的标准进行分组，根据价值投资的思想，这些指标数值越大的股票越有投资价值，所以将指标数值最大的组称为价值组合，指标数值最小的称为成长组合。然后通过比较价值组合和成长组合的平均收益率、累计收益率发现：（1）价值组合的收益率远远超过成长组合，价值投资在我国A股市场是可行的；（2）价值组合在熊市的表现优于成长组合，大幅下跌的次数远远少于成长组合，且从长期来看，价值投资的风险极低。（3）2000年之前价值组合的优势并不明显，但之后价值组合的投资收益显著且持续高于成长组合，价值投资更有效。（4）价值溢价在组合持有的前两年最大，所以使用价值型投资策略的最佳持股时间为1-2年。本文的研究表明，我国A股市场已经具备了价值投资的条件，，且投资者通过价值投资显著提高投资绩效：一方面可以显著提高投资回报，另一方面也可以降低投资风险。
[Abstract]:The value of the investment is one of the world's most widely used method of investment, in the western mature capital markets, effective investment value from practice and theory have been verified. Because most of the investors in China lack the correct investment concept, not only from the rapid development of the A shares in the profits, but suffered a substantial loss of western. Capital market experience shows that the value of the investment is to share the effective investment method of long-term economic development dividend, but if you want Chinese investors to accept the value of the investment, there must be in the A stock market's actual investment performance could significantly improve the performance of investors.
Based on the LSV (1994) [1], selected the China A stock market from July 1994 to June 2011 data on the value of the investment in China is feasible. The test will first of all shares are in accordance with E/P, B/M, S/P, CF/P value of combination of industry factors and standards of the four indicators are grouped according to the combination of the 22. The value of investment ideas, these index values greater more stock investment value, so the index value maximum group called value combination, the smallest index value called Growth Portfolio. Then compare the value portfolio and the average revenue growth rate of the combination, the cumulative rate of return was found: (1) the value of the portfolio returns far more than the growth of the value of the investment portfolio, is feasible in A stock market in China; (2) value portfolio outperformed the Growth Portfolio in the bear market, the number is far less than the growth fell sharply, and in the long run, the price of The value of investment risk is extremely low. (3) before 2000, the value of the portfolio advantage is not obvious, but the value of the portfolio investment income is higher than the combination of a significant and sustained growth, the value of the investment is more effective. (4) the value premium in two years before the largest portfolio holdings, the best holding time so use value investment strategy for 1-2 years.
The research shows that China's A share market has already had the condition of value investment, and investors can significantly improve investment performance through Value Investing: on the one hand, it can significantly improve the return on investment, and on the other hand, it can also reduce investment risk.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】