创业板市场二维价值投资策略研究

发布时间：2018-04-01 14:38

本文选题：创业板市场　切入点：二维价值投资　出处：《山西财经大学》2017年硕士论文

【摘要】：近年来我国资本市场交易机制不断完善,交易品种得到不断丰富,不断优化的市场环境一方面吸引了越来越多的国内外成熟机构投资者和许多个人投资者,另一方面,也推动价值投资理念在证券市场逐渐开始盛行。但是创业板市场上市时间短,且具有高成长以及高风险性,市场中投机跟风现象严重,致使交易者面临诸多不确定因素,加大投资者投资风险的同时也不利于市场的良性发展。在资本全球化高速发展的今天,市场的杠杆风险不断加大,与以前开放程度不高的资本市场相比,投机面临的风险也在不断增大,因此市场急需一种理性的投资理念来引导场内个人投资者理性分析投资目标的外部影响因素和内部表现情况,从而避免盲目跟风所带来的高风险。因此,本文试图将价值投资策略运用到创业板市场,找到一种切实可行的投资策略引导投资者做到定量分析、科学预测,从而形成理性投资的行为习惯。二维价值投资策略是价值投资策略的一种特殊方法,被Piotroski首次提出,结合市场估值指标与基本面综合指标,挖掘市场上内在价值被低估的公司股票,在不增加风险的前提下寻求超额收益。本文给出了二维价值投资理论并将其应用于创业板市场,结合基本面总指标和市净率构造出二维价值投资指标体系,利用突变级数法基于财务比率求出基本面综合得分,利用LSV分组方法筛选出基本面得分与市场估值指标得分双高组合——HH股票组合。比较分析其与基本面得分构建的股票组合、市场估值指标B/P构建的股票组合以及市场的收益率。结果表明二维价值投资策略选择的最优股票组合收益率高于仅按照基本面得分构建的股票组合收益率,高于仅按照市场估值指标B/P得分构建的股票组合收益率,更重要的是可以在不承担更高风险的前提下获得年度超额收益和累计超额收益。
[Abstract]:In recent years, China's capital market trading mechanism has been continuously improved, trading varieties have been constantly enriched, the market environment has been constantly optimized on the one hand attracted more and more domestic and foreign mature institutional investors and many individual investors, on the other hand,Also promote the concept of value investment in the securities market gradually began to prevail.However, the gem market has a short listing time, high growth and high risk, the phenomenon of speculation and follow the trend in the market is serious, causing traders to face many uncertain factors, increasing investors' investment risk is also not conducive to the healthy development of the market.Today, with the rapid development of capital globalization, the leveraged risk of the market is constantly increasing. Compared with the capital market which was not open to the outside world before, the risks faced by speculation are also increasing.Therefore, the market urgently needs a rational investment concept to guide individual investors to rationally analyze the external factors and internal performance of investment objectives, so as to avoid the high risk caused by blindly following the trend.Therefore, this paper attempts to apply the value investment strategy to the gem market and find a feasible investment strategy to guide investors to achieve quantitative analysis and scientific prediction, thus forming the behavior habit of rational investment.Two-dimensional value investment strategy is a special method of value investment strategy, which was first put forward by Piotroski. It combines the market valuation index with the fundamental comprehensive index to excavate the undervalued company stock in the market.Seek excess returns without increasing risk.In this paper, the theory of two-dimensional value investment is presented and applied to the gem market. Combined with the total fundamental index and the price-to-book ratio, the two-dimensional value investment index system is constructed, and the comprehensive score of the fundamental plane is obtained by using the catastrophe series method based on the financial ratio.LSV grouping method is used to screen out the double high combination of fundamental score and market valuation index, that is, HH stock portfolio.A comparative analysis is made of the stock portfolio constructed with the fundamental score, the stock portfolio constructed by the market valuation index B / P and the market yield.The results show that the optimal return rate of the two-dimensional value investment strategy is higher than that of the stock portfolio which is constructed only according to the fundamental score, and is higher than the return rate of the stock portfolio constructed only according to the market valuation index B / P score.More importantly, the annual excess return and cumulative excess return can be obtained without taking higher risk.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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