PEG对选股决策的有效性分析

发布时间：2018-04-26 03:06

本文选题：市盈率 + 市盈率增长率比率　；参考：《上海社会科学院》2013年硕士论文

【摘要】：市盈率增长率比率(PEG)简单来说就是公司市盈率除以其预期投资盈利增长率。当PE估值方法被国内外学者与投资者在理论及实践中广泛研究与应用时,PEG估值方法的出现无疑为投资界在估值、投资领域开辟了一个新的天空,从某些方面来说,PEG估值方法可认为是PE估值方法的一个补充。尽管PEG比率经济意义重大且被列为重要选股指标之一,但在我国证券市场中关于其投资决策有效性方面的研究却微乎其微。本文基于NPVGO (Net Present Value of Growth Opportunity)模型,经过一系列严格假设推导出PEG模型,并从中得出PEG应等于无风险利率平方的倒数这个结论。本文通过实证研究发现,我国股票市场于2001年底至2007年底,较低PEG组合收益率均值都大于较高PEG组合的收益率均值,2008年到2009年在受到巨大经济冲击,金融市场波动较为剧烈,此时PEG对投资决策发生失效状况。这说明,在较为稳定的金融市场状况下,投资者趋于理性投资,PEG与收益率明显负相关,可以成为不错的选股指标；但在金融市场极为不稳定的情况下,依据PEG进行选股时需要谨慎。实证研究的结果与本文理论研究的结果相一致。文章的创新点在于推导出PEG模型的同时,运用国内证券市场的最新数据,进行了一系列实证研究与分析,并得出PEG指标是否存在有效性的结论。
[Abstract]:The price - to - earnings ratio ( PEG ) is simply the company ' s earnings ratio divided by its expected investment profit growth rate . When PE valuation method is widely studied and applied by scholars and investors in theory and practice at home and abroad , the PEG valuation method opens up a new sky for the valuation and investment field .

Based on the NPVGO ( Net Present Value of Growth Opportunity ) model , the PEG model is derived from a series of rigorous assumptions , and the conclusion that PEG should be equal to the reciprocal of the square of the non - risk interest rate is obtained .
However , in the case of extremely unstable financial markets , care should be taken in selecting stocks based on PEG . The results of the empirical study are consistent with the results of the theoretical research in this paper .

The innovation point of this paper is that the PEG model is derived , and a series of empirical research and analysis are carried out by using the latest data of the domestic securities market , and the conclusion that the PEG index is valid or not is obtained .

【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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