本文關(guān)鍵詞：基于價(jià)值股與成長(zhǎng)股超常收益對(duì)比的價(jià)值投資研究　出處：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 價(jià)值投資 價(jià)值股 成長(zhǎng)股 超常收益

【摘要】：隨著中國(guó)股票市場(chǎng)股權(quán)分制改革的完成，各種配套的改革措施也在逐步推進(jìn)，市場(chǎng)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(jī)理念逐步退出中國(guó)市場(chǎng)后，，來(lái)自西方的價(jià)值投資理論雖然更加普及，但經(jīng)過(guò)2006年超級(jí)牛市的“大獲成功”以及2008年熊市的“全軍覆沒(méi)”后，中國(guó)的投資者對(duì)價(jià)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(duì)價(jià)值投資理論在中國(guó)證券市場(chǎng)的表現(xiàn)進(jìn)行研究，討論價(jià)值投資在中國(guó)市場(chǎng)的有效性擁有重要的理論與實(shí)踐意義。 本文以當(dāng)前中國(guó)證券市場(chǎng)上針對(duì)價(jià)值投資理論可行性的討論為背景，嘗試從理論和實(shí)證兩個(gè)方面檢驗(yàn)價(jià)值投資在中國(guó)證券市場(chǎng)上的表現(xiàn)。理論方面，文章第二章從價(jià)值投資的相關(guān)概念界定入手，深入分析其理論實(shí)質(zhì)，還對(duì)價(jià)值股與成長(zhǎng)股的定義與分類標(biāo)準(zhǔn)進(jìn)行了分析研究，最終在第三章將價(jià)值投資與中國(guó)的證券市場(chǎng)大背景相結(jié)合，探尋價(jià)值投資在中國(guó)證券市場(chǎng)上的發(fā)展契機(jī)。在實(shí)證分析方面，文章第四章以基本面分析為切入點(diǎn)，作了三方面的驗(yàn)證：首先是通過(guò)研究股票價(jià)格與內(nèi)在價(jià)值的相關(guān)關(guān)系，分析中國(guó)當(dāng)前證券市場(chǎng)是否適用基本面分析這個(gè)價(jià)值投資所主張的分析工具；其次是通過(guò)組建價(jià)值股組合與成長(zhǎng)股組合來(lái)對(duì)比二者的超常收益率，分析價(jià)值投資的具體市場(chǎng)表現(xiàn)；最后，文章還在價(jià)值股組合取得超常收益的基礎(chǔ)上，更進(jìn)一步的嘗試對(duì)這部分超常收益的來(lái)源進(jìn)行解釋。 通過(guò)研究，文章得出結(jié)論：理論方面，在股權(quán)分置改革奠定了價(jià)值投資市場(chǎng)基礎(chǔ)的前提下，隨著我國(guó)的股市監(jiān)管體制的逐步完善，價(jià)值投資理論完全能夠和當(dāng)前的中國(guó)證券市場(chǎng)實(shí)行對(duì)接；實(shí)證方面，首先中國(guó)證券市場(chǎng)上以基本面因素為代表的股票內(nèi)在價(jià)值已經(jīng)具備了對(duì)股價(jià)的解釋能力，內(nèi)在價(jià)值可以成為股價(jià)的基礎(chǔ)支撐，基本面分析在中國(guó)證券市場(chǎng)的適用性逐漸得到肯定。其次，基于B/M指標(biāo)和E/P指標(biāo)分別構(gòu)建的價(jià)值股組合的超常收益總體均高于成長(zhǎng)股組合，價(jià)值股組合在牛市中的優(yōu)勢(shì)明顯突出，而在熊市中則與成長(zhǎng)股的表現(xiàn)差別不大，價(jià)值股的中長(zhǎng)期獲利能力特別明顯，總體來(lái)說(shuō)價(jià)值股的市場(chǎng)表現(xiàn)是優(yōu)于成長(zhǎng)股組合。最后是價(jià)值股超常收益來(lái)源的實(shí)證分析，文章結(jié)論支持“過(guò)度反應(yīng)假說(shuō)”，拒絕了“風(fēng)險(xiǎn)改變假說(shuō)”。
[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(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.42;F832.51

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