本文關(guān)鍵詞：我國A股市場價值投資績效研究　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 價值投資 價值組合 成長組合 LSV

【摘要】：價值投資是世界上應(yīng)用最廣泛的投資方法之一，在西方成熟資本市場，價值投資的有效性從實踐上和理論上都得到了驗證。由于我國大部分投資者缺乏正確的投資理念，不僅未能從A股的快速發(fā)展中獲利，反而遭受了大幅虧損。西方資本市場的經(jīng)驗表明，價值投資是分享經(jīng)濟(jì)長期發(fā)展紅利的有效投資方法，但如果要讓我國投資者接受價值投資，就必須對其在A股市場的實際投資績效是否能夠顯著改善投資者業(yè)績進(jìn)行研究。 本文借鑒LSV(1994)[1]的方法，選取了我國A股市場1994年7月至2011年6月的數(shù)據(jù)對價值投資在我國是否可行進(jìn)行了檢驗。首先將所有股票分別按照E/P、B/M、S/P、CF/P值結(jié)合行業(yè)因素以及這四個指標(biāo)兩兩組合的標(biāo)準(zhǔn)進(jìn)行分組，根據(jù)價值投資的思想，這些指標(biāo)數(shù)值越大的股票越有投資價值，所以將指標(biāo)數(shù)值最大的組稱為價值組合，指標(biāo)數(shù)值最小的稱為成長組合。然后通過比較價值組合和成長組合的平均收益率、累計收益率發(fā)現(xiàn)：（1）價值組合的收益率遠(yuǎn)遠(yuǎn)超過成長組合，價值投資在我國A股市場是可行的；（2）價值組合在熊市的表現(xiàn)優(yōu)于成長組合，大幅下跌的次數(shù)遠(yuǎn)遠(yuǎn)少于成長組合，且從長期來看，價值投資的風(fēng)險極低。（3）2000年之前價值組合的優(yōu)勢并不明顯，但之后價值組合的投資收益顯著且持續(xù)高于成長組合，價值投資更有效。（4）價值溢價在組合持有的前兩年最大，所以使用價值型投資策略的最佳持股時間為1-2年。 本文的研究表明，我國A股市場已經(jīng)具備了價值投資的條件，，且投資者通過價值投資顯著提高投資績效：一方面可以顯著提高投資回報，另一方面也可以降低投資風(fēng)險。
[Abstract]:The value of the investment is one of the world's most widely used method of investment, in the western mature capital markets, effective investment value from practice and theory have been verified. Because most of the investors in China lack the correct investment concept, not only from the rapid development of the A shares in the profits, but suffered a substantial loss of western. Capital market experience shows that the value of the investment is to share the effective investment method of long-term economic development dividend, but if you want Chinese investors to accept the value of the investment, there must be in the A stock market's actual investment performance could significantly improve the performance of investors.
Based on the LSV (1994) [1], selected the China A stock market from July 1994 to June 2011 data on the value of the investment in China is feasible. The test will first of all shares are in accordance with E/P, B/M, S/P, CF/P value of combination of industry factors and standards of the four indicators are grouped according to the combination of the 22. The value of investment ideas, these index values greater more stock investment value, so the index value maximum group called value combination, the smallest index value called Growth Portfolio. Then compare the value portfolio and the average revenue growth rate of the combination, the cumulative rate of return was found: (1) the value of the portfolio returns far more than the growth of the value of the investment portfolio, is feasible in A stock market in China; (2) value portfolio outperformed the Growth Portfolio in the bear market, the number is far less than the growth fell sharply, and in the long run, the price of The value of investment risk is extremely low. (3) before 2000, the value of the portfolio advantage is not obvious, but the value of the portfolio investment income is higher than the combination of a significant and sustained growth, the value of the investment is more effective. (4) the value premium in two years before the largest portfolio holdings, the best holding time so use value investment strategy for 1-2 years.
The research shows that China's A share market has already had the condition of value investment, and investors can significantly improve investment performance through Value Investing: on the one hand, it can significantly improve the return on investment, and on the other hand, it can also reduce investment risk.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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