市盈率与市净率宏观预测能力的比较研究
发布时间：2018-12-10 12:37
【摘要】：股票市场价格波动迅速，价格波动反映的是市场情绪的变化，更是市场对未来预期的变化。因此，在西方成熟市场中，股票市场常被视为宏观经济的晴雨表。 为了更好的理解我国股票市场，理清市场变动与宏观经济间纷繁复杂的关系，本文以市场常用的市盈率和市净率指标作为切入点，分析了沪深300指数成分股的整体市盈率和整体市净率指标对于未来宏观经济指标的预测能力，并且比较了二者的预测能力强弱。 通过理论分析和公式推导，本文首先总结并阐述了市盈率和市净率指标能够预测未来信息的理论基础，并且解释了各指标包含的预期信息。本文还选取了广义货币供应量增速、宏观经济领先指数、全社会用电量增速、人民币兑美元NDF汇率和一年期国债到期收益率这五个宏观经济指标，从多角度刻画宏观经济形势。利用各指标自2000年以来的月度时间序列数据，分别与整体市盈率和市净率进行向量自回归实证分析。实证结果表明，，市盈率和市净率指标确实能够预测宏观经济形势，比较而言，市净率指标对于宏观经济的预测能力更强。基于此结论，我们建议投资者加强对于市净率指标的研究和应用。
[Abstract]:The stock market price fluctuates rapidly, the price fluctuation reflects the change of the market sentiment, but also the change of the market expectation for the future. Therefore, in the western mature market, the stock market is often regarded as the macroeconomic barometer. In order to better understand the stock market in China and to clarify the complex relationship between market changes and macroeconomic, this paper takes the price-to-earnings ratio and price-to-book ratio as the starting point. This paper analyzes the forecasting ability of the whole price-to-earnings ratio and the whole price-to-book ratio index of the Shanghai and Shenzhen 300 index for the future macroeconomic index, and compares the prediction ability of the two indexes. Through theoretical analysis and formula derivation, this paper first summarizes and expounds the theoretical basis that the index of price-to-earnings ratio and price-to-book ratio can predict the future information, and explains the expected information contained in each index. This paper also selects five macro-economic indicators, namely, the generalized money supply growth rate, the leading macroeconomic index, the total social electricity consumption growth rate, the RMB / dollar NDF exchange rate and the maturity yield of one-year treasury bonds, to describe the macroeconomic situation from many angles. Using the monthly time series data of each index since 2000, the empirical analysis of vector autoregressive analysis is carried out with the overall price-to-earnings ratio and price-to-book ratio respectively. The empirical results show that the index of price-to-book ratio and price-to-book ratio can really predict the macroeconomic situation, compared with the index of price-to-book ratio, it is more powerful to predict the macroeconomic situation. Based on this conclusion, we suggest that investors strengthen the research and application of price-to-book ratio index.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
本文编号：2370580
[Abstract]:The stock market price fluctuates rapidly, the price fluctuation reflects the change of the market sentiment, but also the change of the market expectation for the future. Therefore, in the western mature market, the stock market is often regarded as the macroeconomic barometer. In order to better understand the stock market in China and to clarify the complex relationship between market changes and macroeconomic, this paper takes the price-to-earnings ratio and price-to-book ratio as the starting point. This paper analyzes the forecasting ability of the whole price-to-earnings ratio and the whole price-to-book ratio index of the Shanghai and Shenzhen 300 index for the future macroeconomic index, and compares the prediction ability of the two indexes. Through theoretical analysis and formula derivation, this paper first summarizes and expounds the theoretical basis that the index of price-to-earnings ratio and price-to-book ratio can predict the future information, and explains the expected information contained in each index. This paper also selects five macro-economic indicators, namely, the generalized money supply growth rate, the leading macroeconomic index, the total social electricity consumption growth rate, the RMB / dollar NDF exchange rate and the maturity yield of one-year treasury bonds, to describe the macroeconomic situation from many angles. Using the monthly time series data of each index since 2000, the empirical analysis of vector autoregressive analysis is carried out with the overall price-to-earnings ratio and price-to-book ratio respectively. The empirical results show that the index of price-to-book ratio and price-to-book ratio can really predict the macroeconomic situation, compared with the index of price-to-book ratio, it is more powerful to predict the macroeconomic situation. Based on this conclusion, we suggest that investors strengthen the research and application of price-to-book ratio index.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
【参考文献】
相关期刊论文 前6条
1 白春乐;白春宇;;上市公司市盈率与市净率有效性的实证研究[J];吉林工商学院学报;2008年02期
2 卢锐,魏明海;上市公司市盈率影响因素的实证分析[J];管理科学;2005年04期
3 易纲,王召;货币政策与金融资产价格[J];经济研究;2002年03期
4 李晓莉,杨建平;对股票市盈率的思考[J];西南农业大学学报(社会科学版);2005年03期
5 易姝;小议市盈率与市净率指标[J];市场周刊(财经论坛);2003年04期
6 徐明,戎承法;中国股票市盈率间接影响因素分析[J];中国管理科学;2003年04期
本文编号：2370580
本文链接：https://www.wllwen.com/jingjilunwen/zbyz/2370580.html
