基于盈利预测的股票市盈率模型  

An Empirical Research on Earning Forecast and PE Ratio

作　　者：朱微亮[1] 刘海龙[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《管理评论》2008年第4期3-9,共7页Management Review

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：为了探究上市公司盈利预测对股票未来市盈率的影响,本文建立了一个基于每股盈利预测的市盈率模型,并以2004-2006年中国市场上全部A股为样本,实证检验了上司公司的盈利预测、上一年的股价及预测时间等因素对未来股票市盈率的影响。研究表明,这些因素可以解释当年股票市盈率的64%,进一步对每股盈利平均预测极高或极低的两类股票,模型可以解释高达93%的部分。In order to explore the impact of earning forecast on PE ratio,we build a model of PE ratio based on earning forecast,and use the data of Chinese A stock market from 2004 to 2006 to verify the impact of earning forecast,stock price of the previous year and the time of forecasting on the future PE ratio. We find that R2 equals 0.64 in the model only using earning forecast in the stock market and stock price in the former year,and that R2 equals 0.93 when the earning per stock is at one of the extreme ends.

关 键 词：盈利预测 市盈率 价格发现 

分 类 号：F832.51[经济管理—金融学] F224