【作者】 毛智才；

【导师】 傅浩；

【作者基本信息】 西南交通大学 ， 工商管理， 2007， 硕士

【摘要】 中国证券市场经过十多年的发展,虽然还存在诸多问题,有着明显的新兴加转轨的特征。但随着股权分置改革即将完成,困绕市场发展的一个根本性问题已经基本得到解决。同时市场制度建设的日渐完善,使得价值投资的理念逐渐深入人心,市场也真正过度到机构博弈的时代,如何合理灵活运用价值投资策略在此时显得尤为重要。本文首先阐述了价值投资的理论基础和目前主流的价值评估模型,并对国内外价值投资理论研究现状作了简单分析。第3章对价值投资主要策略安全边际策略、保守型策略、综合型策略和积极型策略进行了初步的分析和比较。第4章则指出了我国证券市场目前存在的问题,并对价值投资理念在我国运用作了可行性分析。在上述理论分析的基础上,本文选取2000年5月至2006年6月为时段,研究对象为上证180板块的股票,且最终筛选出来的股票是在2000年5月份之前至少上市一年,一共81只股票,以B/M(净资产除以股票价格)为划分标准,按照其大小对样本股票进行排列,选择排名前20只股票为价值股组合,后20名为成长股组合。分别研究这两种组合在1年检验期的表现,并进行对比。从实证检验结果来看,在收益率方面,价值股组合检验期3个月开始,其收益率就明显高于成长股组合;从风险方面看,利用CAPM－β检验得出价值股组合与成长股组合的风险系数相当。这说明在同等风险条件下价值股组合相对成长股组合更优。作者同时结合工作实际,通过价值投资策略在自身工作单位CC证券的实际具体应用,进一步检验了实证分析的正确性,从而在论文最后得出了令人信服的结论。更多还原

【Abstract】 Through constant development in the past decade, China’s securities market features marvelous new growth and transition though some problems remain unsolved. However, with imminent completion in stock right splitting reform, a fundamental problem hindering market development has been basically solved. Meanwhile, with gradual improvement in market system construction, the conception of value investment is gradually recognized by investors and the securities market is entering an era of game among institutional investors. Based on this, it is of particular importance as for how to make flexible use of value investment strategy.The present article outlines the theoretical foundation of value investment and present-day popular value assessment model, and performs a brief analysis about theoretic research of value investment both home and abroad. Chapter 3 performs preliminary analysis and comparison concerning key strategies for value investment, strategy on margin of safety, conservative strategy, comprehensive strategy and active investment strategy. Chapter 4 points out the problems currently existing in China’s securities market and analyzes the feasibility of implementing value investment conception in our country.Based on the above theoretic analysis, The main body of the text is chosen from May 2000 till May 2005, the scope of our research is the 180 stocks in the Shanghai stock exchange floor , and the stocks selected out at present ultimately is at least 1 year’s experience in the market before May 2000, altogether 81 stock, B/M (the net asset base to share price) to be a divided standard, arranging according to the size in progress to sample stock, the share ranging first 20 stocks as value combination, the following 20 as growing combination. Study these constitutes’ behavior and make contrast in the scheduled time of 1 year respectively. Judging from the econometric analysis , in the field of earning ratio, when the 3 months of scheduled time starts , value combination, whose earning ratio overtops obviously to growing combination; The risk displays making use of CAPM-βcheck to reach value and growing combination is well-balanced. This is explained under same risk condition, the earning ratio of the value combination overtops growing combination. To further the correctness of demonstrative analysis, the author leverages his practical experience in combination with his implementation of value investment strategy in CC Securities. Ultimately, this article comes to a convincing conclusion.更多还原