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  本文選題：創(chuàng)業(yè)板市場　切入點：二維價值投資　出處：《山西財經(jīng)大學(xué)》2017年碩士論文

【摘要】：近年來我國資本市場交易機制不斷完善,交易品種得到不斷豐富,不斷優(yōu)化的市場環(huán)境一方面吸引了越來越多的國內(nèi)外成熟機構(gòu)投資者和許多個人投資者,另一方面,也推動價值投資理念在證券市場逐漸開始盛行。但是創(chuàng)業(yè)板市場上市時間短,且具有高成長以及高風(fēng)險性,市場中投機跟風(fēng)現(xiàn)象嚴(yán)重,致使交易者面臨諸多不確定因素,加大投資者投資風(fēng)險的同時也不利于市場的良性發(fā)展。在資本全球化高速發(fā)展的今天,市場的杠桿風(fēng)險不斷加大,與以前開放程度不高的資本市場相比,投機面臨的風(fēng)險也在不斷增大,因此市場急需一種理性的投資理念來引導(dǎo)場內(nèi)個人投資者理性分析投資目標(biāo)的外部影響因素和內(nèi)部表現(xiàn)情況,從而避免盲目跟風(fēng)所帶來的高風(fēng)險。因此,本文試圖將價值投資策略運用到創(chuàng)業(yè)板市場,找到一種切實可行的投資策略引導(dǎo)投資者做到定量分析、科學(xué)預(yù)測,從而形成理性投資的行為習(xí)慣。二維價值投資策略是價值投資策略的一種特殊方法,被Piotroski首次提出,結(jié)合市場估值指標(biāo)與基本面綜合指標(biāo),挖掘市場上內(nèi)在價值被低估的公司股票,在不增加風(fēng)險的前提下尋求超額收益。本文給出了二維價值投資理論并將其應(yīng)用于創(chuàng)業(yè)板市場,結(jié)合基本面總指標(biāo)和市凈率構(gòu)造出二維價值投資指標(biāo)體系,利用突變級數(shù)法基于財務(wù)比率求出基本面綜合得分,利用LSV分組方法篩選出基本面得分與市場估值指標(biāo)得分雙高組合——HH股票組合。比較分析其與基本面得分構(gòu)建的股票組合、市場估值指標(biāo)B/P構(gòu)建的股票組合以及市場的收益率。結(jié)果表明二維價值投資策略選擇的最優(yōu)股票組合收益率高于僅按照基本面得分構(gòu)建的股票組合收益率,高于僅按照市場估值指標(biāo)B/P得分構(gòu)建的股票組合收益率,更重要的是可以在不承擔(dān)更高風(fēng)險的前提下獲得年度超額收益和累計超額收益。
[Abstract]:In recent years, China's capital market trading mechanism has been continuously improved, trading varieties have been constantly enriched, the market environment has been constantly optimized on the one hand attracted more and more domestic and foreign mature institutional investors and many individual investors, on the other hand,Also promote the concept of value investment in the securities market gradually began to prevail.However, the gem market has a short listing time, high growth and high risk, the phenomenon of speculation and follow the trend in the market is serious, causing traders to face many uncertain factors, increasing investors' investment risk is also not conducive to the healthy development of the market.Today, with the rapid development of capital globalization, the leveraged risk of the market is constantly increasing. Compared with the capital market which was not open to the outside world before, the risks faced by speculation are also increasing.Therefore, the market urgently needs a rational investment concept to guide individual investors to rationally analyze the external factors and internal performance of investment objectives, so as to avoid the high risk caused by blindly following the trend.Therefore, this paper attempts to apply the value investment strategy to the gem market and find a feasible investment strategy to guide investors to achieve quantitative analysis and scientific prediction, thus forming the behavior habit of rational investment.Two-dimensional value investment strategy is a special method of value investment strategy, which was first put forward by Piotroski. It combines the market valuation index with the fundamental comprehensive index to excavate the undervalued company stock in the market.Seek excess returns without increasing risk.In this paper, the theory of two-dimensional value investment is presented and applied to the gem market. Combined with the total fundamental index and the price-to-book ratio, the two-dimensional value investment index system is constructed, and the comprehensive score of the fundamental plane is obtained by using the catastrophe series method based on the financial ratio.LSV grouping method is used to screen out the double high combination of fundamental score and market valuation index, that is, HH stock portfolio.A comparative analysis is made of the stock portfolio constructed with the fundamental score, the stock portfolio constructed by the market valuation index B / P and the market yield.The results show that the optimal return rate of the two-dimensional value investment strategy is higher than that of the stock portfolio which is constructed only according to the fundamental score, and is higher than the return rate of the stock portfolio constructed only according to the market valuation index B / P score.More importantly, the annual excess return and cumulative excess return can be obtained without taking higher risk.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1696035