基于公司、行业和市场市盈率的价值投资策略实证研究  

An Empirical Study of Value Investment Strategy Based on P/E of Company, Industry and Market

作　　者：宋光辉[1] 刘广[1] 

机构地区：[1]华南理工大学工商管理学院

出　　处：《投资研究》2013年第2期30-39,共10页Review of Investment Studies

基　　金：教育部人文社科基金(10YJA630131);中央高校基本科研业务费专项资金(x2jmD2118850)的联合资助

摘　　要：文章选取79家A股上市公司2000-2011年的面板数据,利用综合市盈率模型,实证检验了公司、行业和宏观经济等多重因素对价值投资策略的影响。研究表明,公司、行业和市场的相对估值水平及变化对证券投资收益有较好的解释能力,并在统计上显著;控制行业变量后,模型的解释能力未受到显著影响。文章使用的方法可避免市场有效性对实证结果的影响,结论不仅有助于丰富组合投资理论研究,而且有助于对新兴行业和新兴市场投资提供理论支持和现实指引。Based on a panel data of 79 Chinese listed companies during 2000-2011, this paper tries to investigate how P/E ratio of the individual companies, the industries and the market affect the efficiency of valuation strategies. The analytical results show that the rate of return is influenced by the relative level and variation of P/Es. And it is robust by including industry dummies. The meth- od introduced in this paper remains valid regardless of the degree of the market efficiency. The conclusions not only contribute to the portfolio theory, but also provide a guideline on investment in the emerging industries and the emerging markets.

关 键 词：行业市盈率 市场市盈率 价值投资策略 面板数据 

分 类 号：F832.51[经济管理—金融学] F224