会计投资价值指数与股票收益——来自A股市场的经验证据  

Accounting Investment Value Index and Stock Returns:Empirical Evidences from A-Share Market

作　　者：王化成[1] 卿小权[1] 张伟华[2] 李志华[1] 

机构地区：[1]中国人民大学商学院,北京100872 [2]北京工商大学商学院,北京100037

出　　处：《中国软科学》2012年第6期102-112,共11页China Soft Science

基　　金：国家自然科学基金项目(70872106;71072144)

摘　　要：本文基于2003-2009年来自A股的样本数据发现,较之盈余价格比组合及市场指数组合,长期持有会计投资价值指数大的股票组合能获取正的超额收益,且该超额收益不能简单地归因于投资风险或规模效应。该结果表明,会计投资价值指数作为投资工具兼具价值投资策略与成长投资策略的优点,除盈余以外的会计数字能为资本市场提供增量信息。Basing on 2003 to 2009 sample data from A - share, we find that buying and holding higher Accounting In- vestment Value Index portfolio can earn higher returns than that from earnings - to - price portfolio and any other market index portfolios; meanwhile, such abnormal returns cannot be simply attributed to investment risks or size effect. The results show that the Aecounting Investment Value Index has advantages of both value strategies and growth strategies, and accounting numbers except for earnings can provide incremental information for capital market.

关 键 词：会计投资价值指数 盈余价格比 股票收益 价值投资策略 风险 

分 类 号：F270[经济管理—企业管理]