【摘要】：在證券投資中,市盈率增長(zhǎng)比率(PEG)與市盈率(PE)一樣,都成為分析股票價(jià)值投資的重要參考依據(jù),并且建立在市盈率基礎(chǔ)之上發(fā)展起來(lái)的PEG指標(biāo)有效地彌補(bǔ)了單純依靠市盈率進(jìn)行投資時(shí)沒(méi)有考慮未來(lái)凈利潤(rùn)增長(zhǎng)率這一缺陷,因此對(duì)于PEG的研究頗具意義。 本文在回顧了股票估值理論、介紹了市盈率的兩個(gè)經(jīng)典模型即戈登模型和NPVGO模型之后,初步推導(dǎo)了PEG的理論模型,理論上得出了PEG與未來(lái)凈利潤(rùn)增長(zhǎng)率和收益率都呈負(fù)相關(guān)性這一結(jié)論。 隨后文章開(kāi)始重點(diǎn)研究行業(yè)PEG相關(guān)領(lǐng)域。首先,本文通過(guò)PEG的計(jì)算公式編制出了中國(guó)證監(jiān)會(huì)23個(gè)行業(yè)2001-2010年的PEG指標(biāo)體系,并以描述性分析的方法分析了行業(yè)PEG的分布規(guī)律,依據(jù)PEG的分布規(guī)律將行業(yè)分為三類(lèi)：低PEG行業(yè)、高PEG行業(yè)以及PEG分布不穩(wěn)定的行業(yè)。其次,本文對(duì)影響行業(yè)PEG的因素通過(guò)多元回歸的方法做了實(shí)證分析,在選取的6個(gè)假設(shè)因素當(dāng)中,利率、下一期的上證指數(shù)以及行業(yè)凈利潤(rùn)增長(zhǎng)率三個(gè)因素被實(shí)證證明對(duì)行業(yè)PEG值的影響程度較高,通過(guò)了模型的檢驗(yàn)。最后,本文重點(diǎn)對(duì)行業(yè)PEG與其收益率之間的關(guān)系做了三個(gè)實(shí)證研究,得到了三點(diǎn)結(jié)論：1、行業(yè)PEG與收益率之間存在負(fù)相關(guān)性,并且在牛市行情中這一負(fù)相關(guān)性比熊市更為顯著。2、分行業(yè)看,各行業(yè)的PEG與收益率之間也存在負(fù)相關(guān)性,并且周期性行業(yè)的收益率與PEG的負(fù)相關(guān)性程度更高,非周期性行業(yè)的收益率與PEG的負(fù)相關(guān)性程度相對(duì)較低。3、借鑒Basu的研究方法,依據(jù)PEG值的高低構(gòu)建三個(gè)不同的行業(yè)組合以檢驗(yàn)其收益率之間是否長(zhǎng)期存在顯著性差異。結(jié)果表明低PEG的行業(yè)組合收益率在2002-2011中的每一年都高于高PEG的行業(yè)組合的收益率,同時(shí)在2005-2007年的牛市中,這一差異性更為明顯。
[Abstract]:In the securities investment, the price-earnings ratio growth ratio (PEG), like the price-earnings ratio (PE), has become an important reference for the analysis of stock value investment. And the PEG index which is based on the price-earnings ratio can effectively make up for the defect that the future net profit growth rate is not taken into account when simply relying on the price-earnings ratio to invest, so the research on PEG is of great significance. After reviewing the theory of stock valuation and introducing two classical models of price-earnings ratio, namely Gordon model and NPVGO model, this paper deduces the theoretical model of PEG. The conclusion of negative correlation between PEG and future net profit growth and yield is obtained theoretically. Then the article began to focus on the industry PEG related areas. First of all, through the calculation formula of PEG, the PEG index system of 23 industries of CSRC for 2001-2010 is worked out, and the distribution law of PEG in industry is analyzed by descriptive analysis method. According to the distribution law of PEG, the industries are divided into three categories: low PEG industry, high PEG industry and unstable PEG distribution industry. Secondly, this paper makes an empirical analysis of the factors affecting industry PEG through the method of multiple regression. Among the six hypothetical factors, interest rate, The next issue of the Shanghai Stock Exchange Index and the growth rate of industry net profit are proved to have a higher impact on the PEG value of the industry, which has passed the test of the model. Finally, this paper makes three empirical studies on the relationship between industry PEG and its rate of return, and draws three conclusions: 1, there is a negative correlation between industry PEG and yield. And this negative correlation is more significant in the bull market than in the bear market. 2 by industry, there is also a negative correlation between the PEG and the yield of each industry, and the negative correlation between the return of the cyclical industry and the PEG is higher. The degree of negative correlation between the return rate of non-cyclical industry and PEG is relatively low. 3. Using the research method of Basu, three different industry combinations are constructed according to the PEG value to test whether there is a significant difference between the returns rate for a long time. The results show that the yield of industry portfolio with low PEG is higher than that of industry portfolio with high PEG in every year of 2002-2011, and the difference is more obvious in the bull market of 2005-2007.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51

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