价值投资:中国股票市场实证分析  

Empirical Study on the Value Investing in China Stock Market

作　　者：徐莉[1] 王静[1] 

机构地区：[1]复旦大学管理学院财务金融系

出　　处：《上海管理科学》2006年第6期1-5,共5页Shanghai Management Science

基　　金：国家自然科学基金项目(项目编号:70371010)

摘　　要：已有的研究表明,在成熟市场中,价值股的投资收益率普遍高于热门股(亦称成长股)。那么,这一结论在新兴市场是否成立?本文运用组合法,对沪、深股市1996年至2004年期间的股票进行了系统的实证研究。我们发现,中国股市存在微弱的价值溢酬,但常用的价值指标与股票收益率之间的关系存在差异。研究结果表明,中国股票市场具有鲜明的新兴市场特征;但随着时间的推移,价值投资溢酬呈现逐渐提高的趋势。We examine the value versus growth inves ring in China stock market during 1996 - 2004. Prior literature has documented that value investing outperform growth investing in developed markets. But little is known about emerging markets. Through examining the monthly returns of portfolios classified by value indicators, we find that weak value premium exists but varies with the value indicators selected. This suggests some accounting manipulations for financial data such as earnings, which lead to measurement er rors. In spite of this, the reward to value investing is getting improved as time passes by.

关 键 词：价值投资 组合法 股票收益率 

分 类 号：F830.91[经济管理—金融学]