价值投资理论在A股估值中的有效性研究

发布时间：2018-04-18 10:54

本文选题：A股 + 价值投资理论　；参考：《兰州大学》2014年硕士论文

【摘要】：价值投资,是指以影响证券投资的宏观经济因素、行业发展前景、上市公司的经营业绩和财务状况等要素分析为基础,以上市公司的资产价值、盈利能力和成长性等作为分析重点,使用估值模型估算出股票的内在价值,并通过对股票的市场价格和内在价值的比较,然后投资那些市场价格明显低于其内在价值的“潜力股”,以获得超过指数增长率的超额收益。本文在回顾价值投资理论相关研究、论述价值投资理论在A股市场的适用性及财务分析的作用、分析财务报表各项目在A股估值中具体应用的基础上,选取23个财务指标组成盈利能力分析、成长性分析、财务健康状况分析、资产估值过滤分析四个指标组,最后根据各项财务指标的特性对指标参数进行了多向度的组合测试,构建了5个财务与价值偏好型模型。以这5个财务指标模型在A股市场2003年5月1日至2013年4月30日十年间上市企业年报中筛选出的股票为样本,在静态持股和动态调仓模式下分别计算这些财务指标模型每个检验周期选出样本公司的总收益率及年复利收益率,并与同期上证指数涨跌比率进行比较,发现这5个财务指标模型10年期的动态调仓操作年复利收益率都在15%以上,远高于同期上证指数涨幅,最高可达24.25%；5年(含5年)以内动态调仓操作及中长期(1至10年)静态持仓操作收益率较低,但均高于同期上证指数涨幅。这5个财务指标模型包含了各财务指标之间的扣减、同比、类比等加权处理,各指标组内部的过滤与权衡比较涵盖和反映了价值投资理论评估股票内在价值时应该考察的诸多因素。因此,本估值方法及财务指标模型的本质符合价值投资理论。本研究证实了价值投资理论在A股估值中的有效性；在本研究的中长期检验周期中,A股市场是一个有效市场。
[Abstract]:Value investment is based on the analysis of macroeconomic factors affecting securities investment, industry development prospects, operating performance and financial status of listed companies, and on the asset value of listed companies,As the emphasis of the analysis, profitability and growth are used to estimate the intrinsic value of the stock, and the market price and intrinsic value of the stock are compared.Then invest in those "potential stocks" whose market prices are significantly lower than their intrinsic value to earn excess returns above the exponential growth rate.This paper reviews the relevant research on the theory of value investment, discusses the applicability of the theory of value investment in the A-share market and the role of financial analysis, and analyzes the specific application of various items of financial statements in A-share valuation.This paper selects 23 financial indicators to make up of four index groups: profitability analysis, growth analysis, financial health analysis and asset valuation filtering analysis. Finally, according to the characteristics of each financial index, the index parameters are tested with multi-directional combination test.Five financial and value preference models are constructed.Based on the five financial index models in the A-share market from May 1, 2003 to April 30, 2013, the stocks selected from the annual report of listed enterprises are taken as samples.Under the model of static stock holding and dynamic position adjustment, the total return rate and the annual compound rate of return of the sample company are calculated in each test cycle of these financial index models, and compared with the ratio of rise and fall of Shanghai Stock Exchange index in the same period.It is found that the annual compound rate of return of these five financial index models in 10 years is above 15%, which is much higher than the increase of Shanghai Stock Exchange Index in the same period.A maximum of 24.25; five years (including 5 years) of dynamic positioning operations and medium and long term 1 to 10 years of static positions operating returns are lower, but higher than the Shanghai Stock Exchange index gains in the same period.These five financial indicator models include weighted treatments such as deductions, year-to-year, analogy, and so on among the various financial indicators.The comparison of filtering and tradeoff within each index group covers and reflects many factors that should be examined when evaluating the intrinsic value of stock by the theory of value investment.Therefore, the essence of this valuation method and financial index model accords with the theory of value investment.This study verifies the validity of the theory of value investment in the valuation of A shares, and the A share market is an efficient market in the medium and long term testing cycle of this study.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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