基于价值股与成长股超常收益对比的价值投资研究

发布时间：2018-01-14 13:28

本文关键词：基于价值股与成长股超常收益对比的价值投资研究　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 价值投资 价值股 成长股 超常收益

【摘要】：随着中国股票市场股权分制改革的完成，各种配套的改革措施也在逐步推进，市场监管日益规范而完善，投资者的理念开始发生巨大变化。在非理性投机理念逐步退出中国市场后，，来自西方的价值投资理论虽然更加普及，但经过2006年超级牛市的“大获成功”以及2008年熊市的“全军覆没”后，中国的投资者对价值投资的态度开始游移不定，模糊不清。在如此的背景下，文章对价值投资理论在中国证券市场的表现进行研究，讨论价值投资在中国市场的有效性拥有重要的理论与实践意义。本文以当前中国证券市场上针对价值投资理论可行性的讨论为背景，尝试从理论和实证两个方面检验价值投资在中国证券市场上的表现。理论方面，文章第二章从价值投资的相关概念界定入手，深入分析其理论实质，还对价值股与成长股的定义与分类标准进行了分析研究，最终在第三章将价值投资与中国的证券市场大背景相结合，探寻价值投资在中国证券市场上的发展契机。在实证分析方面，文章第四章以基本面分析为切入点，作了三方面的验证：首先是通过研究股票价格与内在价值的相关关系，分析中国当前证券市场是否适用基本面分析这个价值投资所主张的分析工具；其次是通过组建价值股组合与成长股组合来对比二者的超常收益率，分析价值投资的具体市场表现；最后，文章还在价值股组合取得超常收益的基础上，更进一步的尝试对这部分超常收益的来源进行解释。通过研究，文章得出结论：理论方面，在股权分置改革奠定了价值投资市场基础的前提下，随着我国的股市监管体制的逐步完善，价值投资理论完全能够和当前的中国证券市场实行对接；实证方面，首先中国证券市场上以基本面因素为代表的股票内在价值已经具备了对股价的解释能力，内在价值可以成为股价的基础支撑，基本面分析在中国证券市场的适用性逐渐得到肯定。其次，基于B/M指标和E/P指标分别构建的价值股组合的超常收益总体均高于成长股组合，价值股组合在牛市中的优势明显突出，而在熊市中则与成长股的表现差别不大，价值股的中长期获利能力特别明显，总体来说价值股的市场表现是优于成长股组合。最后是价值股超常收益来源的实证分析，文章结论支持“过度反应假说”，拒绝了“风险改变假说”。
[Abstract]:With the equity China stock market reform is completed, all supporting reform measures are gradually advancing increasingly standardized and perfect market supervision, investor's idea began to change. In the non rational speculative philosophy gradually withdraw from the market after China, from the Western value investment theory, although more popular, but after the 2006 super bull market "success" and "bear market in 2008 after the China The whole army was wiped out." investment value of investors' attitudes began to vacillate, blurred. In such a background, the value of investment theory China in the performance of the stock market research, discussion has important theoretical and practical significance of the value of investment in the Chinese market.
Based on the current China stock market for the discussion of the theory of value investment feasibility as the background, attempts from the two aspects of theory and empirical test of the value of investment in the Chinese securities market. In theory, the second chapter defines the related concepts of value investment, in-depth analysis of the essence of the theory, but also the definition of value stocks and growth stock and classification are analyzed, finally in the third chapter, the background of the securities market value of investment and China combined, explore the development opportunity value of the investment in the China securities market. In the empirical analysis, the fourth chapter on fundamental analysis as a starting point, verified three points: first through the study on the relationship between the stock price and the intrinsic value of the current stock market analysis China applicability analysis of basic tools of the value investment advocated secondly; It is through the formation of value stock portfolio and growth stock portfolio to two comparisons of abnormal return, analyzes the market value of the investment performance; finally, the article also value stock portfolio based on abnormal returns, a further attempt on the part of the source of abnormal returns was explained.
Through the research, the article draws a conclusion: in theory, laid the premise of value investment market based in the share reform, with China's stock market supervision system gradually perfect, the theory of value investment and securities market can Chinese the current implementation of docking; empirical aspect, the intrinsic value of the stock on the stock market in the first China basic as a representative of the factors have on the stock price explanation ability, intrinsic value can be the foundation to support the stock price, the fundamentals of applicability in China securities market has gradually been affirmed. Secondly, based on the B/ M index and E/P index were used to construct the value stock portfolio returns were generally higher than growth stocks, value advantage stocks in the bull market was prominent, but in the bear market and the performance of growth stocks little difference in the long-term profitability of value stocks is particularly evident in general The market performance of value stocks is superior to that of growth stocks. Finally, the empirical analysis of the source of abnormal returns of value stocks is made. The conclusion supports the overreaction hypothesis and rejected the risk change hypothesis.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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