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  本文關鍵詞：基于價值股與成長股超常收益對比的價值投資研究　出處：《南京財經大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 價值投資 價值股 成長股 超常收益

【摘要】：隨著中國股票市場股權分制改革的完成，各種配套的改革措施也在逐步推進，市場監(jiān)管日益規(guī)范而完善，投資者的理念開始發(fā)生巨大變化。在非理性投機理念逐步退出中國市場后，，來自西方的價值投資理論雖然更加普及，但經過2006年超級牛市的“大獲成功”以及2008年熊市的“全軍覆沒”后，中國的投資者對價值投資的態(tài)度開始游移不定，模糊不清。在如此的背景下，文章對價值投資理論在中國證券市場的表現進行研究，討論價值投資在中國市場的有效性擁有重要的理論與實踐意義。 本文以當前中國證券市場上針對價值投資理論可行性的討論為背景，嘗試從理論和實證兩個方面檢驗價值投資在中國證券市場上的表現。理論方面，文章第二章從價值投資的相關概念界定入手，深入分析其理論實質，還對價值股與成長股的定義與分類標準進行了分析研究，最終在第三章將價值投資與中國的證券市場大背景相結合，探尋價值投資在中國證券市場上的發(fā)展契機。在實證分析方面，文章第四章以基本面分析為切入點，作了三方面的驗證：首先是通過研究股票價格與內在價值的相關關系，分析中國當前證券市場是否適用基本面分析這個價值投資所主張的分析工具；其次是通過組建價值股組合與成長股組合來對比二者的超常收益率，分析價值投資的具體市場表現；最后，文章還在價值股組合取得超常收益的基礎上，更進一步的嘗試對這部分超常收益的來源進行解釋。 通過研究，文章得出結論：理論方面，在股權分置改革奠定了價值投資市場基礎的前提下，隨著我國的股市監(jiān)管體制的逐步完善，價值投資理論完全能夠和當前的中國證券市場實行對接；實證方面，首先中國證券市場上以基本面因素為代表的股票內在價值已經具備了對股價的解釋能力，內在價值可以成為股價的基礎支撐，基本面分析在中國證券市場的適用性逐漸得到肯定。其次，基于B/M指標和E/P指標分別構建的價值股組合的超常收益總體均高于成長股組合，價值股組合在牛市中的優(yōu)勢明顯突出，而在熊市中則與成長股的表現差別不大，價值股的中長期獲利能力特別明顯，總體來說價值股的市場表現是優(yōu)于成長股組合。最后是價值股超常收益來源的實證分析，文章結論支持“過度反應假說”，拒絕了“風險改變假說”。
[Abstract]:With the equity China stock market reform is completed, all supporting reform measures are gradually advancing increasingly standardized and perfect market supervision, investor's idea began to change. In the non rational speculative philosophy gradually withdraw from the market after China, from the Western value investment theory, although more popular, but after the 2006 super bull market "success" and "bear market in 2008 after the China The whole army was wiped out." investment value of investors' attitudes began to vacillate, blurred. In such a background, the value of investment theory China in the performance of the stock market research, discussion has important theoretical and practical significance of the value of investment in the Chinese market.
Based on the current China stock market for the discussion of the theory of value investment feasibility as the background, attempts from the two aspects of theory and empirical test of the value of investment in the Chinese securities market. In theory, the second chapter defines the related concepts of value investment, in-depth analysis of the essence of the theory, but also the definition of value stocks and growth stock and classification are analyzed, finally in the third chapter, the background of the securities market value of investment and China combined, explore the development opportunity value of the investment in the China securities market. In the empirical analysis, the fourth chapter on fundamental analysis as a starting point, verified three points: first through the study on the relationship between the stock price and the intrinsic value of the current stock market analysis China applicability analysis of basic tools of the value investment advocated secondly; It is through the formation of value stock portfolio and growth stock portfolio to two comparisons of abnormal return, analyzes the market value of the investment performance; finally, the article also value stock portfolio based on abnormal returns, a further attempt on the part of the source of abnormal returns was explained.
Through the research, the article draws a conclusion: in theory, laid the premise of value investment market based in the share reform, with China's stock market supervision system gradually perfect, the theory of value investment and securities market can Chinese the current implementation of docking; empirical aspect, the intrinsic value of the stock on the stock market in the first China basic as a representative of the factors have on the stock price explanation ability, intrinsic value can be the foundation to support the stock price, the fundamentals of applicability in China securities market has gradually been affirmed. Secondly, based on the B/ M index and E/P index were used to construct the value stock portfolio returns were generally higher than growth stocks, value advantage stocks in the bull market was prominent, but in the bear market and the performance of growth stocks little difference in the long-term profitability of value stocks is particularly evident in general The market performance of value stocks is superior to that of growth stocks. Finally, the empirical analysis of the source of abnormal returns of value stocks is made. The conclusion supports the overreaction hypothesis and rejected the risk change hypothesis.

【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.42;F832.51

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本文編號：1423779