基于成长性的相对估值模型研究

发布时间：2018-07-21 11:32

【摘要】：价值投资理念的核心思想是“寻找价值被低估股票并长期持有”，该理念经过近百年的发展，得到众多投资者的认可与应用。我国股票市场已经经历20多年的发展，但是仍然有许多投资者尤其是中小投资者并不十分注重价值投资，盲目跟风依然影响着投资者决策。有鉴于此，论文分析与研究价值投资的基本理念，并提出了便于执行的相对估值方法，以期推动我国的价值投资进程。论文对价值投资理念进行了系统梳理，分析了价值投资的相对估值方法，在此基础上，结合我国股票市场的发展现状，确定了基于成长性相对估值的价值投资模型，提出了以成长性相对估值模型寻找价值被低估同时具有良好成长性的股票，以合适的投资期限，，适度的持股数进行价值投资的策略。论文立足于平均累积超额收益率，采用描述性统计方法和比较分析的方法分别从短期、中期、长期三个视角实证分析了成长性相对估值模型的适用性。结果表明，在短期中，PEG策略持股1只投资1年的效果最好；在中期中，PSG策略持股8只投资2年的效果最好；在长期中，PBG策略持股3只投资4年的效果最好。综合考虑，PBG策略持有4年持股3只是短期、中期、长期中最佳投资组合。论文从不同角度对基于成长性相对估值模型与传统模型的投资策略效果进行了比较分析。研究表明，在短期、中期、长期中PEG比PE都有更好的决策效果；在特定的期限和持股集中度上PBG比PB、PSG比PS有更好的决策效果。
[Abstract]:The core idea of the idea of value investment is "looking for undervalued stocks and holding them for a long time", which has been recognized and applied by many investors after nearly 100 years of development. The stock market in China has been developing for more than 20 years, but there are still many investors, especially the small and medium-sized investors, who do not pay much attention to the value investment, and blindly follow the trend still affect the investors' decision-making. In view of this, the paper analyzes and studies the basic idea of value investment, and puts forward the relative valuation method which is easy to carry out in order to promote the process of value investment in our country. This paper systematically combs the concept of value investment and analyzes the relative valuation method of value investment. On this basis, combined with the current situation of stock market development in China, the model of value investment based on growth relative valuation is determined. This paper puts forward the strategy of looking for undervalued stocks with good growth by using the growth relative valuation model and investing with appropriate investment term and appropriate number of shares. Based on the average cumulative excess rate of return, the paper empirically analyzes the applicability of the growth relative valuation model from the short-term, medium-term and long-term perspectives using descriptive statistical method and comparative analysis method. The results show that in the short term, PEG strategy has the best investment effect for 1 year, PSG strategy has the best effect for 2 years, and PBG strategy has the best effect for 4 years. A comprehensive consideration of the PBG strategy holds 4 years of shareholding 3 is only short-term medium-best portfolio. In this paper, the effects of investment strategy based on growth relative valuation model and traditional model are compared and analyzed from different angles. The results show that in the short, medium and long term, PEG has better decision effect than PE, and PBG has better decision effect than PBPSG than PS in specific duration and shareholding concentration.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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