基于行业PEG的投资有效性研究

发布时间：2018-12-13 21:25

【摘要】：在证券投资中,市盈率增长比率(PEG)与市盈率(PE)一样,都成为分析股票价值投资的重要参考依据,并且建立在市盈率基础之上发展起来的PEG指标有效地弥补了单纯依靠市盈率进行投资时没有考虑未来净利润增长率这一缺陷,因此对于PEG的研究颇具意义。本文在回顾了股票估值理论、介绍了市盈率的两个经典模型即戈登模型和NPVGO模型之后,初步推导了PEG的理论模型,理论上得出了PEG与未来净利润增长率和收益率都呈负相关性这一结论。随后文章开始重点研究行业PEG相关领域。首先,本文通过PEG的计算公式编制出了中国证监会23个行业2001-2010年的PEG指标体系,并以描述性分析的方法分析了行业PEG的分布规律,依据PEG的分布规律将行业分为三类：低PEG行业、高PEG行业以及PEG分布不稳定的行业。其次,本文对影响行业PEG的因素通过多元回归的方法做了实证分析,在选取的6个假设因素当中,利率、下一期的上证指数以及行业净利润增长率三个因素被实证证明对行业PEG值的影响程度较高,通过了模型的检验。最后,本文重点对行业PEG与其收益率之间的关系做了三个实证研究,得到了三点结论：1、行业PEG与收益率之间存在负相关性,并且在牛市行情中这一负相关性比熊市更为显著。2、分行业看,各行业的PEG与收益率之间也存在负相关性,并且周期性行业的收益率与PEG的负相关性程度更高,非周期性行业的收益率与PEG的负相关性程度相对较低。3、借鉴Basu的研究方法,依据PEG值的高低构建三个不同的行业组合以检验其收益率之间是否长期存在显著性差异。结果表明低PEG的行业组合收益率在2002-2011中的每一年都高于高PEG的行业组合的收益率,同时在2005-2007年的牛市中,这一差异性更为明显。
[Abstract]:In the securities investment, the price-earnings ratio growth ratio (PEG), like the price-earnings ratio (PE), has become an important reference for the analysis of stock value investment. And the PEG index which is based on the price-earnings ratio can effectively make up for the defect that the future net profit growth rate is not taken into account when simply relying on the price-earnings ratio to invest, so the research on PEG is of great significance. After reviewing the theory of stock valuation and introducing two classical models of price-earnings ratio, namely Gordon model and NPVGO model, this paper deduces the theoretical model of PEG. The conclusion of negative correlation between PEG and future net profit growth and yield is obtained theoretically. Then the article began to focus on the industry PEG related areas. First of all, through the calculation formula of PEG, the PEG index system of 23 industries of CSRC for 2001-2010 is worked out, and the distribution law of PEG in industry is analyzed by descriptive analysis method. According to the distribution law of PEG, the industries are divided into three categories: low PEG industry, high PEG industry and unstable PEG distribution industry. Secondly, this paper makes an empirical analysis of the factors affecting industry PEG through the method of multiple regression. Among the six hypothetical factors, interest rate, The next issue of the Shanghai Stock Exchange Index and the growth rate of industry net profit are proved to have a higher impact on the PEG value of the industry, which has passed the test of the model. Finally, this paper makes three empirical studies on the relationship between industry PEG and its rate of return, and draws three conclusions: 1, there is a negative correlation between industry PEG and yield. And this negative correlation is more significant in the bull market than in the bear market. 2 by industry, there is also a negative correlation between the PEG and the yield of each industry, and the negative correlation between the return of the cyclical industry and the PEG is higher. The degree of negative correlation between the return rate of non-cyclical industry and PEG is relatively low. 3. Using the research method of Basu, three different industry combinations are constructed according to the PEG value to test whether there is a significant difference between the returns rate for a long time. The results show that the yield of industry portfolio with low PEG is higher than that of industry portfolio with high PEG in every year of 2002-2011, and the difference is more obvious in the bull market of 2005-2007.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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