中国股市市盈率效应的适用性研究  

The Applicability of P/E Ratio Effect in China’s Stock Market

作　　者：陈帅宇[1] 

机构地区：[1]中央财经大学中国经济与管理研究院,北京100081

出　　处：《现代工业经济和信息化》2012年第20期15-17,20,共4页Modern Industrial Economy and Informationization

基　　金：国家自然科学基金项目资助;项目编号:71173140

摘　　要：市盈率高低可以从一个方面反映股票的市场风险和投资价值,对国外市场的研究表明低市盈率投资组合比高市盈率投资组合具有更高的投资收益,而国内对于这方面的研究还很少。文章以我国制造业行业为例,以市盈率为解释变量,销售收入增长率、市场累积收益率为控制变量,投资报酬率为被解释变量,在市场累积收益率的基础上逐步引入其他回归变量,构建多元线形回归模型,以此检验市盈率效应在我国股市的适用性问题。Analysis of price-earnings ratio help investors identify market risks, judge the investment value of the stock. Foreign studies of the price-earnings ratio effect found that low ratio investment portfolio has a higher return compared to the high ratio one, while we domestic exists little research in this area. Taking china’s manufacturing industry for example, this article selects the rate of income on investment as explained variable, price-earnings ratio as explanatory variable, sales growth rate and market accumulative yield as control variable, construct linear regression models by adding variables gradually on an empirical basis, to test if the price-earnings ratio effect exists in our stock market.

关 键 词：市盈率 行业市盈率 市盈率效应 

分 类 号：F224[经济管理—国民经济] F832.51