本文選題：價值投資策略 + 價值股�。� 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：從一般意義上來說,具有較高賬面市值比B/M,市盈率倒數(shù)E/P,股利股價比D/P,或現(xiàn)金流量股票價格比C/P的股票稱為價值股,這些股票的價格被低估了,低于它們的內(nèi)在價值。相應(yīng)的各種比率較低的股票稱為魅力股。價值投資策略就是買入價值股并持有一段時間,在這段時間內(nèi)同時賣空魅力股,來獲得超額收益。 本文通過實證方法證明了,在中國股市2006年到2010年這段樣本區(qū)間內(nèi),分別按B/M,E/P,C/P值劃分的價值投資策略,在一年期和三年期的時間窗口上都能夠取得顯著的超額收益。除此之外,本文構(gòu)建了引入股票成長性的二維價值投資策略。該策略在一年期和三年期時間窗口上都分別取得了大于普通價值投資策略的超額收益。這說明按照這種方法對普通價值投資策略進行細化,能夠在普通價值投資策略的基礎(chǔ)上取得更大的超額收益。 本文說明了,在本文選定的這段樣本區(qū)間內(nèi),按B/M,E/P,C/P值劃分的價值投資策略和在此基礎(chǔ)上的引入成長性的二維價值投資策略在中國股市都是非常有效的。 按D/P劃分的價值投資策略以及基于D/P和成長性的二維價值投資策略在一年期和三年期窗口收益都是負的,這跟中國上市公司股利分派不規(guī)范有關(guān)。 文章結(jié)構(gòu)如下： 第一章是緒論,提出了要討論的問題,闡述了選題的目的和意義,交代了文章的框架。 第二章介紹了價值投資理論和實踐的沿革。 第三章為文獻綜述,總結(jié)了國外國內(nèi)對價值投資策略超額收益的研究成果。 第四章是實證部分,介紹了數(shù)據(jù)來源,研究思路和模型,展示和分析了得到的實證結(jié)果。 第五章是結(jié)論,對全文進行了總結(jié),指出了不足之處和改進方向。
[Abstract]:Generally speaking, stocks with higher book market value than B / M, P / P, P / P, P / P or C / P are called value stocks, and the prices of these stocks are undervalued and lower than their intrinsic values. The corresponding lower ratios of stocks are called glamour stocks. A value strategy is to buy value stocks and hold them for a period of time, during which time you can short glamour stocks to get excess returns. This paper proves that in the sample range of Chinese stock market from 2006 to 2010, the value investment strategy divided by B / M / E / P / P value can achieve significant excess returns in the one-year and three-year time window. In addition, this paper constructs a two-dimensional value investment strategy with stock growth. The excess returns of the strategy are higher than those of the ordinary value investment strategy in one year and three years respectively. This shows that the ordinary value investment strategy can be refined according to this method, and more excess returns can be obtained on the basis of the ordinary value investment strategy. In this paper, it is shown that the value investment strategy divided according to B / M / P / P value and the two-dimensional value investment strategy based on the introduction of growth are very effective in the Chinese stock market in the sample interval selected in this paper. The value investment strategy classified by D / P and the two dimensional value investment strategy based on D / P and growth are both negative in one year and three years, which is related to the non-standard dividend distribution of listed companies in China. The structure of the article is as follows: The first chapter is the introduction, which puts forward the problems to be discussed, expounds the purpose and significance of the topic, and explains the framework of the article. The second chapter introduces the evolution of the theory and practice of value investment. The third chapter is a literature review, summarizing the foreign and domestic research results of value investment strategy excess returns. The fourth chapter is the empirical part, introduces the data sources, research ideas and models, shows and analyzes the empirical results. The fifth chapter is the conclusion, summarizes the full text, points out the deficiency and the improvement direction.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1924693