本文選題：價(jià)值投資 + 賬面市值比��； 參考：《江西財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：1990年11月26日上海證券交易所的成立標(biāo)志著我國(guó)證券市場(chǎng)的正式形成。從1990年到2011年這21年里,中國(guó)股市經(jīng)歷了從無(wú)到有,由無(wú)人問(wèn)津直至炒作盛行,由政策市主導(dǎo)直至股權(quán)分置改革、股指期貨的推出。在這21年間上證指數(shù)年均增長(zhǎng)率為17.5%,A股市場(chǎng)市值從最低點(diǎn)的1470億到最高點(diǎn)的457799億,取得了很大的進(jìn)步。然而2011年的中國(guó)股市可以用一句話(huà)來(lái)概括：一夜回到十年前。截止到2011年12月30日,上證綜合指數(shù)全年下跌20%,收盤(pán)點(diǎn)數(shù)創(chuàng)三年半以來(lái)新低,而且上證指數(shù)回到10年前的水平。我國(guó)股市估值長(zhǎng)期偏高,平均市盈率經(jīng)常達(dá)到數(shù)十倍,但是現(xiàn)在已經(jīng)降低到歷史最低水平,與國(guó)際上的主要市場(chǎng)基本相當(dāng),具備了長(zhǎng)期投資價(jià)值,倡導(dǎo)理性投資遇到了最好時(shí)機(jī)。價(jià)值投資作為一種理性投資理念,在國(guó)外市場(chǎng)已經(jīng)證明了其有效性。引導(dǎo)廣大投資者運(yùn)用價(jià)值投資策略對(duì)于優(yōu)化股票市場(chǎng)資源配置有著非常重要的現(xiàn)實(shí)意義。為此本文將對(duì)價(jià)值投資策略在我國(guó)股票市場(chǎng)適用性進(jìn)行實(shí)證研究,并提出相應(yīng)的政策建議。 本文分為六章,具體內(nèi)容如下： 第一章引言。主要論述了本文的研究背景及意義,闡述了國(guó)內(nèi)外關(guān)于價(jià)值投資策略的研究現(xiàn)狀,并對(duì)研究現(xiàn)狀分別從價(jià)值投資策略能否在股票市場(chǎng)中獲得超額收益以及超額收益來(lái)源兩個(gè)方面進(jìn)行分類(lèi)總結(jié)。同時(shí)指出了本文的研究?jī)?nèi)容、研究方法、研究思路及創(chuàng)新與不足之處。 第二章價(jià)值投資理論概述。首先敘述了國(guó)外學(xué)者提出的價(jià)值投資理論假設(shè)及含義,分析了巴菲特、格雷厄姆和費(fèi)雪的價(jià)值投資理論及其異同,并闡明了后文實(shí)證研究中將采用的股票劃分指標(biāo)。 第三章我國(guó)股票市場(chǎng)價(jià)值投資適用性分析。首先描述了價(jià)值投資理念在我國(guó)發(fā)展經(jīng)過(guò)的萌芽期、接受期、追捧期、質(zhì)疑期等四個(gè)時(shí)期。其次根據(jù)我國(guó)現(xiàn)狀分析了價(jià)值投資理念在我國(guó)證券市場(chǎng)的可行性。最后闡述了價(jià)值投資理念對(duì)我國(guó)股市發(fā)展的意義。價(jià)值投資具有穩(wěn)定股市、促進(jìn)上市公司質(zhì)量提高以及改進(jìn)投資者投資收益等重要意義。 第四章價(jià)值投資策略在中國(guó)股市適用性的實(shí)證研究。本章分為兩部分,第-部分首先借鑒Fama和French的研究方法運(yùn)用賬面市值比(B/M)、每股收益與股價(jià)(E/M)作為研究指標(biāo)劃分價(jià)值投資組合與成長(zhǎng)投資組合。根據(jù)Fama與French的研究,B/M、E/M值高的公司為價(jià)值投資股票,B/M、E/M值低的公司為成長(zhǎng)投資股票。本文將A股市場(chǎng)股票B/M、E/M值最大的前30只股票組成價(jià)值投資組合,將B/M、E/M值最小的30只股票組成為成長(zhǎng)投資組合。分別統(tǒng)計(jì)兩個(gè)組合每年的收益率。因?yàn)楸疚男枰?jì)算組合構(gòu)建后三年的收益率,所以本文只能計(jì)算01至08年兩個(gè)組合的收益率。最后統(tǒng)計(jì)發(fā)現(xiàn)價(jià)值投資組合相對(duì)于成長(zhǎng)性投資組合取得了超額收益率。證明價(jià)值投資策略在我國(guó)股票市場(chǎng)是適用的,可以取得超額收益率。第二部分對(duì)超額收益率進(jìn)行理論解釋。對(duì)于這部分超額收益率的來(lái)源學(xué)術(shù)上主要有兩種解釋。一是以Fama和French為代表的“風(fēng)險(xiǎn)改變假說(shuō)”,這種解釋從收益與風(fēng)險(xiǎn)相匹配的角度來(lái)解釋超額收益,堅(jiān)持有效市場(chǎng)理論,屬于現(xiàn)代標(biāo)準(zhǔn)金融學(xué)的范疇。另一種是以De Bondt和Thaler為代表的“過(guò)度反應(yīng)假說(shuō)”,這種解釋從投資者非理性行為角度解釋超額收益率。這部分首先借鑒Fama與French的三因子模型采用前文數(shù)據(jù)進(jìn)行回歸,實(shí)證結(jié)果發(fā)現(xiàn)傳統(tǒng)的CAPM模型對(duì)超額收益率解釋能力較弱,價(jià)值投資組合相對(duì)于成長(zhǎng)投資組合的超額收益率是由于其不同的B/M值決定的。然后本文采用De Bondt與Thaler的“過(guò)度反應(yīng)假說(shuō)”檢驗(yàn)兩個(gè)組合的超額收益率,將兩種組合在檢驗(yàn)其一年的平均累計(jì)收益率表示在同一張圖中,發(fā)現(xiàn)圖形并沒(méi)有表現(xiàn)出過(guò)度反應(yīng)。實(shí)證結(jié)果也與“過(guò)度反應(yīng)假說(shuō)”不相符。第一部分實(shí)證結(jié)果證明了在我國(guó)股票市場(chǎng)價(jià)值投資組合相對(duì)于成長(zhǎng)投資組合超額收益的存在。第二部分發(fā)現(xiàn)可以用Fama和French為代表的“風(fēng)險(xiǎn)改變假說(shuō)”解釋這種超額收益。 第五章結(jié)論及政策建議。首先依據(jù)本文理論分析和實(shí)證分析得出價(jià)值投資策略在我國(guó)股票市場(chǎng)可以取得超額收益,證明了價(jià)值投資在我國(guó)股票市場(chǎng)是適用的。超額收益可以由Fama和French為代表的“風(fēng)險(xiǎn)改變假說(shuō)”解釋。最后提出促進(jìn)資本市場(chǎng)健康發(fā)展,推動(dòng)價(jià)值投資理念普及的政策建議。
[Abstract]:The establishment of the Shanghai stock exchange in November 26, 1990 marked the formal formation of the stock market in China. From 1990 to 2011, China's stock market has gone through no arrival, from no one to another until the hype, from the policy market to the split share reform and the introduction of stock index futures. The average annual growth rate of the Shanghai Stock Exchange Index in these 21 years is the same. 17.5%, the market value of the A share market has made great progress from the lowest 147 billion to the highest point of 457799 billion. However, the Chinese stock market in 2011 can be summed up in one word: ten years ago. By December 30, 2011, the Shanghai Composite Index fell 20%, the number of closing points was a new low of three and a half, and the Shanghai stock index returned to 10. The value of the stock market in China has long been high, and the average p / E ratio often reached dozens of times. But it has now been reduced to the lowest level in history, basically equivalent to the main market in the world. It has the value of long-term investment and the best time to advocate rational investment. As a rational investment concept, the value investment has already been in the foreign market. It is very important to guide the investors to use the value investment strategy to optimize the allocation of stock market resources. This paper will make an empirical study on the applicability of the value investment strategy in China's stock market, and put forward the corresponding policy proposals.
This article is divided into six chapters, and the specific contents are as follows:
The first chapter introduces the background and significance of the study, expounds the status of the research on value investment strategy at home and abroad, and classifies the current research status from two aspects: whether the value investment strategy can obtain excess income and the excess income source in the stock market, and points out the research content of this paper. Research methods, research ideas, innovation and inadequacies.
The second chapter is an overview of value investment theory. First, it describes the hypothesis and meaning of value investment theory proposed by foreign scholars, analyses the value investment theory and similarities and differences of Buffett, Graham and Fisher, and clarifies the index of stock division that will be used in the later empirical research.
The third chapter analyses the applicability of the value investment in China's stock market. First, it describes the germination period, the acceptance period, the pursuit period and the query period of the value investment concept in China. Secondly, it analyzes the feasibility of the value investment concept in our country's securities market according to the status of our country. Finally, it expounds the value investment concept to our country stock. The significance of city development is that value investing has the important significance of stabilizing the stock market, improving the quality of listed companies and improving the investment income of investors.
The fourth chapter is an empirical study of the applicability of the value investment strategy in the Chinese stock market. This chapter is divided into two parts. The first part first uses the Fama and French research methods to use the book market value ratio (B/M), the earnings per share and the stock price (E/M) as the research indicators to divide the portfolio and the growth investment portfolio. According to the research of Fama and French, B/M, E/M is high. The company for the value investment stock, B/M, the low E/M value company for the growth investment stock. In this paper, the A share market shares B/M, the top 30 shares of the largest E/M value portfolio, the B/M, the minimum of the E/M value of the 30 stocks are composed of the growth investment portfolio. Statistics two combinations annual yield respectively. Because this paper needs to calculate the combination construction. The rate of return for the last three years, so this article can only calculate the yield of two combinations of 01 to 08 years. Finally, the statistics found that the value investment portfolio has obtained the excess return relative to the growth investment portfolio. It is proved that the value investment strategy is applicable in the stock market of our country, and the excess rate of income can be obtained. The second part is reasonable to the excess return rate. There are two main explanations for the source of this part of the excess return. One is the "risk change hypothesis" represented by Fama and French, which explains the excess returns from the angle of the match between the income and the risk, and adheres to the effective market theory, which belongs to the category of modern standard quasi finance. The other is De Bondt and Th. Aler is the "overreaction hypothesis", which explains the excess return rate from the perspective of investor's irrational behavior. This part first uses the three factor model of Fama and French to return the previous data. The empirical results show that the traditional CAPM model has weak interpretation ability to the excess return, and the value investment portfolio is relative to the growth. The excess return rate of the portfolio is determined by its different B/M values. Then this paper uses the "overreaction hypothesis" of De Bondt and Thaler to test the excess return rate of two combinations, and the average cumulative yield of the two combinations in the same picture for one year, and the occurrence pattern does not show excessive reaction. The results also are not consistent with the "overreaction hypothesis". The first part of the empirical results proves the existence of excess returns in the stock market value portfolio in China relative to the growth investment portfolio. The second part finds that the excess returns can be explained by the "risk change hypothesis" represented by Fama and French.
The fifth chapter and policy suggestion. First, according to the theoretical analysis and empirical analysis, the value investment strategy can obtain excess returns in our stock market, which proves that the value investment is applicable in the stock market of our country. The excess income can be explained by the "risk change hypothesis" represented by Fama and French. Finally, it puts forward the promotion of investment. The healthy development of the market and policy recommendations to promote the popularization of value investment.
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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