PEG模型应用于我国股票市场的投资有效性研究

发布时间：2018-06-29 19:06

本文选题：PEG模型 + 股票收益率　；参考：《东北师范大学》2014年硕士论文

【摘要】：价值投资策略广泛应用于投资实践中，并经受住了市场的考验。由于我国证券市场尚不完善，很多理论无法应用于我国股票市场。随着我国股权分置改革的完成，市场变化的影响因素也发生了深刻的变革。将市场的价格与基本面因素相联系，将个股走势与企业状况相联系才能规避投资风险，因此，价值投资策略的重要性逐渐显现。本文选取了价值投资策略的重要模型PEG模型，它是在市盈率基础上发展起来，考虑了企业未来收益的增长前景，弥补了市盈率模型的缺陷。本文通过对过往理论的梳理，对PEG的理论模型进行推导，理论上得出PEG与股票收益率负向相关，随后，通过实证研究，进一步探讨PEG与股票收益的相关性。首先，本文通过PEG的计算公式，以描述性统计的方法分析整体上PEG及其组成部分市盈率、每股收益增长率的分布规律，可以看出市盈率及PEG离散程度较高，个股之间差异较大。其次，按PEG值从小到大的顺序将样本数据分为五组，考察随着PEG值的增大，股票收益、风险系数的变化情况。研究得到，高PEG组合获得股票收益低于低PEG组合获得股票收益，但是风险性系数随着PEG值的变化没有明显的变化趋势。再次，本文引入Fama-French的三因素模型，以控制系统性风险因素对股票收益的影响，考察在这一情况下PEG对于股票收益的解释程度。研究结果表明，PEG与股票收益负相关，并且回归结果显著，与描述性统计分析结果一致。最后，本文进一步探讨PEG模型的组成部分市盈率和每股收益增长率的投资有效性。依据市盈率的高低与PEG的高低构建了25个投资组合，，结果表明，随着市盈率的增大，股票收益没有显著的变化趋势。而构建的每股收益增长率与PEG的投资组合，也同样随着每股收益增长率的增大，股票收益没有明显的变化趋势。这说明，单独使用市盈率或对未来每股收益增长的预测不能有效地指导投资。
[Abstract]:Value investment strategy is widely used in investment practice and has withstood the test of market. Because the stock market of our country is not perfect, many theories can not be applied to the stock market of our country. With the completion of the split share structure reform in China, the influence factors of market changes have also undergone profound changes. Only when the market price is connected with the fundamental factors and the individual stock trend is connected with the enterprise condition, the investment risk can be avoided. Therefore, the importance of the value investment strategy gradually appears. In this paper, we select PEG model, an important model of value investment strategy, which is developed on the basis of price-earnings ratio. By combing the past theory and deducing the theoretical model of PEG, this paper draws the conclusion that PEG has negative correlation with stock yield. Then, through empirical research, the correlation between PEG and stock returns is further discussed. First of all, through the calculation formula of PEG, the paper analyzes the distribution law of PEG and its component P / E ratio and earnings per share growth rate by descriptive statistical method. We can see that the price-earnings ratio and PEG discrete degree are higher, and the difference between individual stocks is great. Secondly, according to the order of PEG value from small to large, the sample data are divided into five groups, and the change of stock return and risk coefficient with the increase of PEG value is investigated. The results show that the return of high PEG portfolio is lower than that of low PEG portfolio, but the risk coefficient does not change with the change of PEG value. Thirdly, this paper introduces Fama-French three-factor model to control the influence of systemic risk factors on stock returns, and investigates the explanation of PEG to stock returns in this case. The results show that PEG is negatively correlated with stock returns, and the regression results are significant, which is consistent with the descriptive statistical analysis. Finally, the paper further discusses the investment efficiency of PEG model, which is composed of price-earnings ratio and earnings per share growth rate. According to the price-earnings ratio and PEG, 25 portfolios are constructed. The results show that with the increase of P / E ratio, there is no significant change trend of stock returns. However, with the increase of earnings per share and PEG, there is no obvious change trend of stock income. This shows that the use of price-earnings ratio alone or future earnings per share growth forecast can not effectively guide investment.
【学位授予单位】：东北师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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