本文選題：A股 + 價值投資理論��； 參考：《蘭州大學》2014年碩士論文

【摘要】：價值投資,是指以影響證券投資的宏觀經(jīng)濟因素、行業(yè)發(fā)展前景、上市公司的經(jīng)營業(yè)績和財務(wù)狀況等要素分析為基礎(chǔ),以上市公司的資產(chǎn)價值、盈利能力和成長性等作為分析重點,使用估值模型估算出股票的內(nèi)在價值,并通過對股票的市場價格和內(nèi)在價值的比較,然后投資那些市場價格明顯低于其內(nèi)在價值的“潛力股”,以獲得超過指數(shù)增長率的超額收益。 本文在回顧價值投資理論相關(guān)研究、論述價值投資理論在A股市場的適用性及財務(wù)分析的作用、分析財務(wù)報表各項目在A股估值中具體應(yīng)用的基礎(chǔ)上,選取23個財務(wù)指標組成盈利能力分析、成長性分析、財務(wù)健康狀況分析、資產(chǎn)估值過濾分析四個指標組,最后根據(jù)各項財務(wù)指標的特性對指標參數(shù)進行了多向度的組合測試,構(gòu)建了5個財務(wù)與價值偏好型模型。以這5個財務(wù)指標模型在A股市場2003年5月1日至2013年4月30日十年間上市企業(yè)年報中篩選出的股票為樣本,在靜態(tài)持股和動態(tài)調(diào)倉模式下分別計算這些財務(wù)指標模型每個檢驗周期選出樣本公司的總收益率及年復利收益率,并與同期上證指數(shù)漲跌比率進行比較,發(fā)現(xiàn)這5個財務(wù)指標模型10年期的動態(tài)調(diào)倉操作年復利收益率都在15%以上,遠高于同期上證指數(shù)漲幅,最高可達24.25%；5年(含5年)以內(nèi)動態(tài)調(diào)倉操作及中長期(1至10年)靜態(tài)持倉操作收益率較低,但均高于同期上證指數(shù)漲幅。這5個財務(wù)指標模型包含了各財務(wù)指標之間的扣減、同比、類比等加權(quán)處理,各指標組內(nèi)部的過濾與權(quán)衡比較涵蓋和反映了價值投資理論評估股票內(nèi)在價值時應(yīng)該考察的諸多因素。因此,本估值方法及財務(wù)指標模型的本質(zhì)符合價值投資理論。本研究證實了價值投資理論在A股估值中的有效性；在本研究的中長期檢驗周期中,A股市場是一個有效市場。
[Abstract]:Value investment is based on the analysis of macroeconomic factors affecting securities investment, industry development prospects, operating performance and financial status of listed companies, and on the asset value of listed companies,As the emphasis of the analysis, profitability and growth are used to estimate the intrinsic value of the stock, and the market price and intrinsic value of the stock are compared.Then invest in those "potential stocks" whose market prices are significantly lower than their intrinsic value to earn excess returns above the exponential growth rate.This paper reviews the relevant research on the theory of value investment, discusses the applicability of the theory of value investment in the A-share market and the role of financial analysis, and analyzes the specific application of various items of financial statements in A-share valuation.This paper selects 23 financial indicators to make up of four index groups: profitability analysis, growth analysis, financial health analysis and asset valuation filtering analysis. Finally, according to the characteristics of each financial index, the index parameters are tested with multi-directional combination test.Five financial and value preference models are constructed.Based on the five financial index models in the A-share market from May 1, 2003 to April 30, 2013, the stocks selected from the annual report of listed enterprises are taken as samples.Under the model of static stock holding and dynamic position adjustment, the total return rate and the annual compound rate of return of the sample company are calculated in each test cycle of these financial index models, and compared with the ratio of rise and fall of Shanghai Stock Exchange index in the same period.It is found that the annual compound rate of return of these five financial index models in 10 years is above 15%, which is much higher than the increase of Shanghai Stock Exchange Index in the same period.A maximum of 24.25; five years (including 5 years) of dynamic positioning operations and medium and long term 1 to 10 years of static positions operating returns are lower, but higher than the Shanghai Stock Exchange index gains in the same period.These five financial indicator models include weighted treatments such as deductions, year-to-year, analogy, and so on among the various financial indicators.The comparison of filtering and tradeoff within each index group covers and reflects many factors that should be examined when evaluating the intrinsic value of stock by the theory of value investment.Therefore, the essence of this valuation method and financial index model accords with the theory of value investment.This study verifies the validity of the theory of value investment in the valuation of A shares, and the A share market is an efficient market in the medium and long term testing cycle of this study.
【學位授予單位】：蘭州大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F275;F832.51

【參考文獻】

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本文編號：1768058