本文選題：價值投資 + 有效市場�。� 參考：《西南財經大學》2012年碩士論文

【摘要】：在證券投資咨詢專業(yè)服務的工作實踐中,因為中國證券市場投機性較強,市場氛圍較為浮躁,大多數專業(yè)人士傾向于不斷地追蹤短期熱點,進而對客戶進行專業(yè)服務。但顯然,這種“在花叢中飛來飛去”的工作方式效率很低,無法真正讓客戶的財富實現(xiàn)長期保值增值。尤其是對于高凈值客戶的證券投資咨詢專業(yè)服務,我們在實際工作中也探索了很多方法,但效果并不明顯,客戶的忠誠度和粘性仍然很難建立。另一方面,我們工作中常用一些固定的估值指標來評判公司的投資價值,從結果看這些指標有利有弊。因此,我們想結合證券投資咨詢服務的特殊性,對這一研究方法加以改進。通過尋找一些長期有效且穩(wěn)定的估值指標識別出在較長時期內表現(xiàn)優(yōu)異的標的,使得基于此構建的投資組合能在長期取得良好的投資收益。 另外,現(xiàn)實市場并不符合完全的有效市場理論,國內大部分學者得出的結論說明我國證券市場仍處于弱勢有效市場,也為我們探索上述問題提供了理論基礎。國外格雷厄姆、巴菲特等投資大師以及國內績優(yōu)投資機構的行為也已經驗證了主動管理獲得超額收益的現(xiàn)實可能性。 出于證券投資咨詢專業(yè)服務工作的特殊性,若能通過一些長期有效且穩(wěn)定的估值指標識別出在較長時期內表現(xiàn)優(yōu)異的標的(這些標的不可能是百分之百有效的,但大概率是有效的),使得基于此構建的投資組合能在長期取得良好的投資收益,則對我們的專業(yè)服務工作具有巨大的幫助。有利于我們在平時工作中建立合適且較為穩(wěn)定的公司價值評估方法,有利于增強專業(yè)服務的有效性,持續(xù)的維護和客戶之間的關系,提升客戶的忠誠度和粘性。因此,判斷公司長期投資價值的估值指標體系構建及其運用對公司價值評判和證券投資咨詢專業(yè)服務工作具有重大的意義。 本文結合工作實踐,首先分析了當前公司價值評估的通行做法及其利弊,并通過相關資料及文獻的研究為公司價值評估的指標驗證及其體系構建奠定理論基礎,并在此基礎上對我國證券市場的弱式有效市場進行實證分析；其次,對格雷厄姆式價值投資(好價格)和巴菲特式價值投資(好公司)在中國證券市場的投資效果作描述統(tǒng)計,驗證長期穩(wěn)定估值指標的現(xiàn)實可操作性,并作為后續(xù)本文構建的價值投資指標體系其投資效果的參照組。再次,通過對相關文獻整理的單一估值指標進行逐一穩(wěn)定性檢驗,尋找評判公司投資價值的主要估值指標,并通過Logistic二分類回歸分析尋找核心影響因子,進而構建評判公司投資價值的指標體系。最后,以投資市場、格雷厄姆式價值投資方法、巴菲特式價值投資方法的投資效果作為參照組,檢驗本文構建的指標體系的投資效果并對其在現(xiàn)實工作中的指導效果作案例研究。 加上前言部分,本文框架共由六部分組成。 第一章前言部分主要論述本文研究的背景及其意義,闡明研究的基本思路和文章的結構框架,并簡要描述了本文的貢獻。 第二章主要論述當前行業(yè)內公司價值評判的通行做法,即絕對估值和相對估值兩種價值評估分析方法,簡要地介紹了包括股利折現(xiàn)模型和折現(xiàn)現(xiàn)金流模型兩種絕對估值方法,也介紹了包括市盈率法和市凈率法等相對估值方法。另外,本部分也對兩類估值方法的利弊進行了分析。 第三章為理論分析部分,通過有效市場假說、價值投資理論和公司價值評估文獻的梳理為全文奠定理論基礎和實證思路。本部分梳理了有效市場假說的發(fā)展歷程、涵義、假設前提以及弱式、半強式和強式有效市場的三個層次的區(qū)別與檢驗方法,并在此基礎上通過對1992年到2011年的周收盤數據進行分析,檢驗了我國滬深兩市的有效市場層次,明確了我國股票市場尚處于弱式有效市場的結論,為本文基于基本面分析的指標體系構建奠定了理論和現(xiàn)實基礎。價值投資理論部分,整理了格雷厄姆和巴菲特兩大價值投資學派的經典理論,同時也回顧了國內外的價值投資理論研究的現(xiàn)狀。在此基礎上,本文也梳理了國內外公司價值評估的相關資料,為下文指標的驗證和體系構建奠定基礎。 第四章為實證研究,是本文分析的重點。本章首先主要通過理論整理,從公司的基本面選取對上市公司的投資價值分析可能相關的備選指標。在指標設計上涵蓋了企業(yè)總體素質的諸多方面,包括盈利能力、成長能力、營運能力、償債能力以及市場估值水平等,使上市公司能得到全面客觀的評價；其次,對理論分析中的選擇的備選指標進行穩(wěn)定性非參數檢驗,選擇了凈利潤復合年增長率、凈資產收益率、營業(yè)收入復合年增長率、股息率、總資產凈利率、總資產周轉率、投入資本回報率、流動負債比率、流動資產周轉率、已獲利息倍數等10個穩(wěn)定性較強且有效的指標作為下一步構建上市公司投資價值評估指標體系的評估指標。最后,通過Logistic二分類回歸分析方法,最終選擇了核心的影響因素構建最終的價值評估指標體系�；诂F(xiàn)實投資實踐的需要,本文構建了基于當年指標數據所構建的T年和T+1年的預測指標體系。本文回歸模型選擇了凈資產收益率、營業(yè)收入復合年增長率、凈利潤復合年增長率以及總資產周轉率四大核心指標作為匹配T年的指標體系,般形式可表示如下： 其中,P為上市公司具有投資價值的概率,1-P為無投資價值的概率。如果依據體系內的四大指標數據得到當年的P0.49,則該上市公司當年具有投資價值,如果得出的P=0.49,則其當年無投資價值。 本文回歸模型最終選擇了流動負債比率和股息率兩大核心指標作為匹配T+1年的指標體系,一般形式可表示如下. 其中,PT+1為次年上市公司具有投資價值的概率,1-PT+1為無投資價值的概率。如果依據體系內的四大指標數據得到次年的P0.50,則該上市公司次年具有投資價值,如果得出的P=0.50,則其次年無投資價值。 另外,本章比較本文構建的價值評估指標體系的投資效果與格雷厄姆式和巴菲特式的投資方法的投資效果,驗證本文構建的價值評估指標體系的有效性。格雷厄姆式的投資策略在匹配T年時,相對上證指數表現(xiàn)較差,年均跑輸上證指數近二十個百分點,但匹配較為現(xiàn)實的T+1年時則取得了年均二十三個百分點的超額收益率,修正夏普指數也達到了0.48,表明該投資方法在現(xiàn)實操作中的投資效果取得了不錯的表現(xiàn)。巴爾特式的投資策略在匹配T年時的年均超額收益率高達30.77%,修正夏普指數亦達0.48,充分顯示了該方法對于當年的投資所取得的良好效果,同時該策略匹配T+1年也取得8.56%的年均超額收益率,意味著該策略存在較強的投資穩(wěn)定性。相對于上述兩種經典的價值投資方法,本文構建的上市公司投資價值評估指標體系的策略在匹配T年的投資策略時,取得了年均近十五個點的超額收益率,表現(xiàn)遜于巴菲特式的投資策略,但強于格雷厄姆式的投資策略匹配T年的表現(xiàn)。需要指出的是,本文的評估體系匹配T+1年的投資策略取得令人難以置信的年均120.62%的超額收益率,且修正夏普指數達到了驚人的0.93,達到了近乎完美的地步。究其原因,本文認為可能在于,本文的指標體系是基于歷史的樣本數據的統(tǒng)計回歸分析得出了擬合度和解釋能力均較強的模型,用以指導過去的投資理所當然容易取得較好成績,因此,本文的價值評估指標體系還有待于未來的時間的檢驗。當然,這一抽象出的評估指標體系則至少證明到目前為止其近乎完美的投資效果。 第五章總結本文在理論基礎部分和實證分析部分所獲得的研究結果,并對專業(yè)投資咨詢服務機構提出了有益的建議,主要有：一是應加強對行業(yè)和上市公司基本面的研究,二是對上市公司基本面的研究可以注重公司投資價值與基本面指標的關系研究,三是可以嘗試采用本文構建的價值評估指標體系或者格雷厄姆、巴菲特式的價值投資策略進行公司投資價值分析,引導客戶理性投資,增強客戶的忠誠度和粘性。 最后,本文結合所在部門的職責情況,本文將所構建的上市公司價值評估指標體系應用于實際工作中作案例分析。在現(xiàn)實證券投資咨詢服務中,若按照本文指標體系股票池交由公司的投資顧問用于指導客戶投資或作咨詢服務之用,則效果將十分明顯,客戶的忠誠度和粘性也較容易建立。同時,若能將本文的指標體系與格雷厄姆式的方法綜合運用,則實際效果將更佳。
[Abstract]:In the work practice of securities investment consulting professional service, because China's securities market is highly speculative and the market atmosphere is more flicker, most professionals tend to keep track of short-term hot spots and further professional service to customers. We have also explored many methods in the actual work, but the effect is not obvious, and the loyalty and stickiness of customers are still difficult to establish. On the other hand, we often use some fixed valuations to judge the company. As a result, we want to improve the research method by combining the particularity of the securities investment advisory service. By looking for some long-term and stable valuations, we can identify the outstanding targets in a longer period of time, so that the portfolio based on this construction can be in the long run. Get good investment returns.
In addition, the real market does not conform to the complete effective market theory. Most of the domestic scholars have concluded that the securities market in China is still in a weak and effective market. It also provides a theoretical basis for us to explore the above problems. Foreign investment masters such as Graham, Buffett and other domestic investment institutions have also been verified. Active management of the real possibility of gaining excess returns.
For the particularity of the securities investment consulting service, it is possible to identify the outstanding indicators that perform well over a long period of time through a number of effective and stable valuation indicators (these can not be one hundred percent effective, but the probability is effective), making the portfolio based on this construction good investment for a long time. Income has great help to our professional service. It is beneficial for us to establish a suitable and stable method of valuation of the company's value in normal work, to enhance the effectiveness of the professional service, to maintain the relationship between the customers and to improve the loyalty and stickiness of the customer. Therefore, to judge the long-term investment price of the company. The construction and application of the valuation index system is of great significance to the company's value judgement and the professional services of securities investment consulting.
Based on the work practice, this paper first analyzes the current practice and its advantages and disadvantages of the company's value assessment, and lays a theoretical foundation for the evaluation of the value of the company and the construction of the system through the research of relevant materials and literature, and on this basis, the empirical analysis of the weak effective market in China's securities market; secondly, to the grid. The investment effect of the value investment (good price) and Buffett type value investment (good company) in the Chinese stock market is described and statistics are described, the realistic operability of the long-term stable valuation index is verified, and the reference group for the investment effect of the value investment index system constructed in the following article. A valuation index is tested by one by one, to find the main valuations that judge the value of the company's investment, and to find the core impact factor through the Logistic two classification regression analysis, and then build an index system to judge the value of the company's investment. Finally, the investment market, Graham's value investment method and the Buffett value investment method are used. The investment effect is taken as a reference group to examine the investment effect of the index system constructed in this paper and to conduct a case study on its guiding effect in practical work.
In addition, the framework consists of six parts.
The first part of the first chapter mainly discusses the background and significance of the study, clarifies the basic ideas of the study and the structural framework of the article, and briefly describes the contribution of this article.
The second chapter mainly discusses the current practice of the value evaluation of the company's value in the current industry, namely, the absolute valuation and the relative valuation of the two valuation analysis methods, briefly introduces two kinds of absolute valuation methods including the dividend discount model and the discounted cash flow model, and also introduces the relative valuation methods, including the P / E rate method and the city net rate method. In addition, the advantages and disadvantages of the two valuation methods are also analyzed.
The third chapter is the theoretical analysis part. Through the effective market hypothesis, the value investment theory and the company value evaluation literature, the paper lays the theoretical foundation and the positive thinking. This part combs the development course of the effective market hypothesis, the meaning, the hypothesis and the three levels of the weak, semi strong and strong effective market. On the basis of the analysis of the weekly closing data from 1992 to 2011, the effective market level of the two cities in Shanghai and Shenzhen is tested and the conclusion of our stock market still in the weak efficient market is clarified, which lays a theoretical and realistic foundation for the construction of the index system based on the basic analysis. In part, it collates the classical theory of the two value investment schools of Graham and Buffett, and reviews the current situation of the research on value investment theory both at home and abroad. On this basis, this paper also combs the relevant information of the valuation of the company at home and abroad, and lays the foundation for the verification and system construction of the following indexes.
The fourth chapter is an empirical study, which is the key point of this paper. First of all, this chapter mainly through the theoretical arrangement, from the basic side of the company to select the possible alternative indicators of the value analysis of the listed companies. In the design of the index, it covers many aspects of the overall quality of the enterprise, including profitability, growth, operation and debt service. And the market valuation level and so on, make the listed company get a comprehensive and objective evaluation. Secondly, the choice of the selected indicators in the theoretical analysis of the stability of the non parameter test, selected the net profit compound annual growth rate, the net asset yield, the business income compound annual growth rate, the share rate, the total asset net interest rate, the total asset turnover rate, investment capital. The return rate, the current debt ratio, the turnover rate of the current assets, the interest multiple and so on are 10 strong and effective indexes as the next step to construct the evaluation index of the evaluation index system of the investment value of the listed company. Finally, the final value of the core influence factors is constructed by the Logistic two classification regression analysis method. Based on the needs of real investment practice, this paper constructs a forecast index system based on the year index data of T and T+1. This regression model selects the net assets yield, the annual growth rate of the operating income, the combined annual growth rate of net profit and the four key index of total assets turnover as the matching T. In the form of the year's index system, the following can be expressed as follows:
Among them, P has the probability of investment value for listed companies, and 1-P is the probability of no investment value. If the four major index data in the system are obtained at the same year's P0.49, then the listed company has the value of investment in the same year, if the P=0.49 is obtained, then it has no investment value in the same year.
The regression model finally chose the two core indicators of the current debt ratio and the dividend rate as the index system to match T+1. The general form can be expressed as follows.
Among them, PT+1 is the probability of the investment value of the listed company in the following year, and 1-PT+1 is the probability of no investment value. If the four big index data in the system are obtained the next year's P0.50, then the listed company has the investment value in the next year, if the P=0.50 is obtained, then the next year has no investment value.
In addition, this chapter compares the investment effect of the value evaluation index system and the investment method of Graham and Buffett, verifies the effectiveness of the value evaluation index system constructed in this paper. When the Graham's investment strategy is matched for T years, the relative index performance is poor, and the annual average running transmission index index is the same. Nearly twenty percentage points, but with more realistic T+1 years, the average annual rate of excess return is twenty-three percentage points, and the revised SHARP index has reached 0.48. It shows that the investment method of the investment method has achieved good performance in the actual operation. The BART investment strategy has high annual excess return rate in the match of T years. Up to 30.77%, the revised SHARP index also reached 0.48, which fully demonstrated the good effect of the method on the investment of the year, and the strategy matched the T+1 year of 8.56% of the average annual excess return, which means that the strategy has a strong investment stability. Compared with the above two classic value investment methods, the listed public is built in this paper. The strategy of the investment value evaluation index system of the company, when matching the investment strategy of T years, obtained the excess return rate of nearly fifteen points per year, showing a performance inferior to the Buffett type investment strategy, but better than the Graham type investment strategy matching the performance of T years. It is necessary to point out that the evaluation system of this paper matches the investment strategy of T+1 years. The unbelievable annual average of 120.62% of the excess rate of return and the revised SHARP index reached an astonishing 0.93, reaching an almost perfect place. The investment of the past is of course easy to achieve better results, so the evaluation index system in this paper remains to be tested in the future. Of course, this abstract evaluation index system is at least proof of its near perfect investment effect so far.
The fifth chapter summarizes the research results obtained in the theoretical basis and the empirical analysis, and puts forward some useful suggestions for the professional investment advisory service institutions. The first is to strengthen the research on the fundamentals of the industry and the listed companies, and the two is that the research on the fundamentals of the listed companies can pay attention to the value and basic of the company's investment. The study of the relationship between surface indicators, three, we can try to use the value evaluation index system constructed in this article or Graham, Buffett's value investment strategy to analyze the value of the company investment value, guide the rational investment of customers, and enhance the loyalty and stickiness of the customers.
In the end, this paper combines the responsibilities of the Department, and applies the value evaluation index system of the listed company to case analysis in actual work. In the actual securities investment advisory service, if the investment consultant is used to guide the customer investment or to serve as a consulting service according to the stock pool of this index system, the company's investment consultant is used. It will be obvious that the customer's loyalty and stickiness are easier to build. At the same time, the practical effect will be better if the index system of this article is integrated with the Graham method.
【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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