基于财务视角的价值投资策略实证研究  

Empirical Research of Value Investing——Based on the Financial Angel

作　　者：黄惠平[1] 彭博[1] 

机构地区：[1]南京大学商学院,江苏南京210093

出　　处：《经济管理》2012年第9期129-139,共11页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"产权安排;避税行为与企业价值研究"(71002027)

摘　　要：20世纪80年代初开始,金融学、会计学研究发现的投资异象,开启了学术界对有效市场假说的质疑和挑战。异象研究的出现说明证券市场上错误定价是不断发生的。Grossman&Stiglitz(1980)精辟地指出了有效市场理论中存在的悖论。如果股票价格在任何时候都完全、无偏地反映了投资者所拥有的信息,那么,投资者完全可以不去从事收集、分析信息的工作,而是直接从股票的市场价格上推导出市场上所有关于股票内在价值的信息。本文从价值规律的基本理论出发,利用上市公司财务信息和市场交易信息,寻找和构造适用于中国证券市场的有效投资策略。本文将财务信息与估值指标相结合,筛选出财务状况好且价值被低估的公司,并证明此种策略较之其他策略能获得更大收益。本文将财务信息划分为9个指标,每个指标以1和0表示优劣,并加总得到F_SCORE值。9个指标度量了公司的盈利能力、杠杆率/流动性、经营效率,F值越大说明公司基于财务视角的基本面越好。在估值指标中,用低P/B(P/E、P/S)表示股票价值被低估。本文证明了价值投资在我国的有效性,并证明通过选取高F_SCORE值和低估值指标公司组合的策略能产生更大的收益。本文也为投资者提供了一种简单地能获得更大收益的价值投资策略。Efficient market hypothesis （EMH） believes that if the stock price deviates from its value for some reason, arbitragers will immediately take actions under the motivation of pursuing extra profit, so the stock price will return to its value through these transactions. EHM believes the process will be completed instantly, so the mi- spricing will not exist. Starting from the early years of 1980s, investing anomalies found in financial research and accounting research make the academia begin to question and challenge the efficient market hypothesis （EMH）. The anomalies in re- search show that mispricing keeps happening. Grossman and Stiglitz （1980）have brilliantly pointed out the paradox in EMH. If the stock price can completely and fairly reflect the information owned by investors at any time, then investors do not need to collect and analyze information. Instead, they can directly infer all the information of the inner value of stocks just by their prices. Based on the inefficiency of the market, Graham, the father of securities analysis, came up with the strategy of value investing, which means investors should buy stocks when their prices are lower than their values and sell stocks when their prices are higher than their values. Starting from the law of value＂ price is the expression form of value; price fluctuates around the value＂, effectively using the financial in- formation of listed companies and market trade information, finding and constructing effective investing strategies which suit for China＇ s stock market, will be meaningful. In the paper, the financial information is divided into 9 signals, and if the signal is good, it equals 1 ; or it equals 0. Finally, 9 signals are aggregated. These 9 signals measure the profitability, lever/liquidity and operating efficiency of firms. The higher the F-SCORE is, the stronger the financial condition is. In terms of value signals, firms with low P/B, P/E and P/S mean that they are undervalued. By combining financial information and value sig

关 键 词：价值投资 财务信息 估值指标 F_SCORE 

分 类 号：F276.6[经济管理—企业管理]