發(fā)布時(shí)間：2018-06-29 19:06

  本文選題：PEG模型 + 股票收益率�。� 參考：《東北師范大學(xué)》2014年碩士論文

【摘要】：價(jià)值投資策略廣泛應(yīng)用于投資實(shí)踐中，并經(jīng)受住了市場(chǎng)的考驗(yàn)。由于我國(guó)證券市場(chǎng)尚不完善，很多理論無(wú)法應(yīng)用于我國(guó)股票市場(chǎng)。隨著我國(guó)股權(quán)分置改革的完成，市場(chǎng)變化的影響因素也發(fā)生了深刻的變革。將市場(chǎng)的價(jià)格與基本面因素相聯(lián)系，將個(gè)股走勢(shì)與企業(yè)狀況相聯(lián)系才能規(guī)避投資風(fēng)險(xiǎn)，因此，價(jià)值投資策略的重要性逐漸顯現(xiàn)。本文選取了價(jià)值投資策略的重要模型PEG模型，它是在市盈率基礎(chǔ)上發(fā)展起來(lái)，考慮了企業(yè)未來(lái)收益的增長(zhǎng)前景，彌補(bǔ)了市盈率模型的缺陷。本文通過(guò)對(duì)過(guò)往理論的梳理，對(duì)PEG的理論模型進(jìn)行推導(dǎo)，理論上得出PEG與股票收益率負(fù)向相關(guān)，隨后，通過(guò)實(shí)證研究，進(jìn)一步探討PEG與股票收益的相關(guān)性。 首先，本文通過(guò)PEG的計(jì)算公式，以描述性統(tǒng)計(jì)的方法分析整體上PEG及其組成部分市盈率、每股收益增長(zhǎng)率的分布規(guī)律，可以看出市盈率及PEG離散程度較高，個(gè)股之間差異較大。其次，按PEG值從小到大的順序?qū)颖緮?shù)據(jù)分為五組，考察隨著PEG值的增大，股票收益、風(fēng)險(xiǎn)系數(shù)的變化情況。研究得到，高PEG組合獲得股票收益低于低PEG組合獲得股票收益，但是風(fēng)險(xiǎn)性系數(shù)隨著PEG值的變化沒(méi)有明顯的變化趨勢(shì)。再次，本文引入Fama-French的三因素模型，以控制系統(tǒng)性風(fēng)險(xiǎn)因素對(duì)股票收益的影響，考察在這一情況下PEG對(duì)于股票收益的解釋程度。研究結(jié)果表明，PEG與股票收益負(fù)相關(guān)，并且回歸結(jié)果顯著，與描述性統(tǒng)計(jì)分析結(jié)果一致。最后，本文進(jìn)一步探討PEG模型的組成部分市盈率和每股收益增長(zhǎng)率的投資有效性。依據(jù)市盈率的高低與PEG的高低構(gòu)建了25個(gè)投資組合，，結(jié)果表明，隨著市盈率的增大，股票收益沒(méi)有顯著的變化趨勢(shì)。而構(gòu)建的每股收益增長(zhǎng)率與PEG的投資組合，也同樣隨著每股收益增長(zhǎng)率的增大，股票收益沒(méi)有明顯的變化趨勢(shì)。這說(shuō)明，單獨(dú)使用市盈率或?qū)ξ磥?lái)每股收益增長(zhǎng)的預(yù)測(cè)不能有效地指導(dǎo)投資。
[Abstract]:Value investment strategy is widely used in investment practice and has withstood the test of market. Because the stock market of our country is not perfect, many theories can not be applied to the stock market of our country. With the completion of the split share structure reform in China, the influence factors of market changes have also undergone profound changes. Only when the market price is connected with the fundamental factors and the individual stock trend is connected with the enterprise condition, the investment risk can be avoided. Therefore, the importance of the value investment strategy gradually appears. In this paper, we select PEG model, an important model of value investment strategy, which is developed on the basis of price-earnings ratio. By combing the past theory and deducing the theoretical model of PEG, this paper draws the conclusion that PEG has negative correlation with stock yield. Then, through empirical research, the correlation between PEG and stock returns is further discussed. First of all, through the calculation formula of PEG, the paper analyzes the distribution law of PEG and its component P / E ratio and earnings per share growth rate by descriptive statistical method. We can see that the price-earnings ratio and PEG discrete degree are higher, and the difference between individual stocks is great. Secondly, according to the order of PEG value from small to large, the sample data are divided into five groups, and the change of stock return and risk coefficient with the increase of PEG value is investigated. The results show that the return of high PEG portfolio is lower than that of low PEG portfolio, but the risk coefficient does not change with the change of PEG value. Thirdly, this paper introduces Fama-French three-factor model to control the influence of systemic risk factors on stock returns, and investigates the explanation of PEG to stock returns in this case. The results show that PEG is negatively correlated with stock returns, and the regression results are significant, which is consistent with the descriptive statistical analysis. Finally, the paper further discusses the investment efficiency of PEG model, which is composed of price-earnings ratio and earnings per share growth rate. According to the price-earnings ratio and PEG, 25 portfolios are constructed. The results show that with the increase of P / E ratio, there is no significant change trend of stock returns. However, with the increase of earnings per share and PEG, there is no obvious change trend of stock income. This shows that the use of price-earnings ratio alone or future earnings per share growth forecast can not effectively guide investment.
【學(xué)位授予單位】：東北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F224

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