中国股票市场价值投资策略研究
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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。
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.
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。
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.
引文
[1] Adrian J. Slywotsky,Value Migration,Harvard Business School Pres,2003.
[2] Arthur, W, Increasing Returns and the New World of Business, Harvard Business Review, 1996 (July-August).
[3] Bruce C. N. Greenwald, Judd Kahn Paul D. Sonkin and Michael Van Biema, ValueInvesting: from Graham to Buffett and Beyond ,New York: John Wiley&Sons,2001(3).
[4] Campbell .J .Y .and Shiner R J., Stock Price Earnings, Expected Dividends journal of Finance, 1988(43), pp. 661-676.
[5] Chan, K,On the Contrarian Investment Strategy, Journal of Business, 1988 (61),pp. 147-163.
[6] Chopra, N., Lakonishok J. and J. Ritter, Measuring Abnormal Returns: Do Stocks Overreact Journal of Financial Economics, 1992 (31),pp. 235-268
[7] Daniel, K., Hirshleifer D., and A. Subrahmanyam, Investor Psychology and Security Market Under and Overreaction,Journal of Finance, 1998 (53), pp. 1839-1885.
[8] Edward and Paul J. H Schoernaker, Managing Overconfidence, Sloan Management Review, 1992(Winter),pp.7-17.
[9] Fama, E. and K. French, The Cross-Section of Expected Stock Returns, Journal of Finance, 1992 (47),pp.427-466.
[10] Frailey Fred W, Goldwasser Joan,The Fine Art of Value Investing ,Kiplinger's Personal Finance Magazine, 1999( Mar), p. 108.
[11] Graham, B., and D. Dodd,Security Analysis,McGraw-Hill, New York, 1934.
[12] Hersh Shefrin, Meir Statman, Behavioral portfolio theory,Journal of Financial and Quantitative Analysis, 2000 ,pp. 127-151.
[13] Jegadeesh, D. and S. Titman,Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 1993 (48),pp.65-91.
[14]Kahneman,D.,Slovic R,and A.Tversky eds,Judgment Under Uncertainty:Heuristics and Biases,Cambridge:Cambridge University Press,1982.
[15]Kuhn SusanE.,Value investing is hot,most growth stocks ale not,Fortune,1992,p35.
[16]Lakonishok,J.,Shleifer A.,and R.Vishny,Contrarian Investment,Extrapolation and Risk,Journal of Finance,1994(49),pp.1541-1578.
[17]Lo.Andrew W.and C.Mackinlay,Data-Snooping Biases in Tests of Asset Pricing Models,Review of Financial Studies,1990(3),pp.431-467.
[18]Oppenheimer Henry R,A Test of Ben Graham's Stock Selection Criteria,Financial Analysts Journal,40,p68.
[19]Rousseau Roland,Van Rensburg Paul,Time and the payoff to value investing,Journal of Asset Management,2004(Feb),p318.
[20]Siegel Laurence B,The Future of Value Investing,Journal of Investing,2000(Winter,p.33.
[21]王明华:《金融土程和金融效率相关问题研究》,中国经济出版社,2001年第1期。
[22]李茂生,苑德军:《中国证券市场问题报告》,北京:中国社会科学出版社,2003年。
[23]黄良文:《投资估价原理》,北京:科学出版社,2002年。
[24]王孝德、彭艳:《价值投资策略:国际经验和中国实证》,深圳证券交易所,2002年
[25]陈耀年、周学农:《价值投资策略的行为金融学解释及其实证研究》,《系统工程》,2005年7期
[26]周正庆:《证券市场导论》,北京:中国金融出版社,1998年。
[27]安德鲁·史密瑟斯、史蒂芬·赖特:《华尔街价值投资》,海口:海南出版社,2001年。
[28]李心丹等:《中国个体证券投资者交易行为的实证研究》,《经济研究》,2002年11期。
[29]陈浪南等:《资本资产定价模型的实证研究》,《经济研究》,2000年4期。
[30]陈忠阳:《金融风险分析与管理研究》中国人民大学出版社,2001年。
[31]邹小亢:《我国证券市场回报率过度反应的实证分析》,《经济科学》,2003年第4期,23-26页。
[32]景乃权、叶庆祥、陈新秀:《证券市场羊群行为的机理及其在中国的应用》,《国际金 融研究》,2002年第8期。
[33]沈艺峰、吴世农:《我国证券市场过度反应了吗》,《经济研究》,1999年第2期,58-64页。
[34]孙友群,陈小洋,魏非:《价值投资与中国股市对接的思考》,《财经理论与实践》,2002年第4期,65-67页。
[35]万解秋、郑宏亮主编:《资本市场与投资分析》,复旦大学出版社,2002年第10期。
[36]成思危:《诊断与治疗:揭示中国的股票市场》,北京:经济科学出版社,2003年,150-154页。
[37]冯根福、韩冰、闰冰:《中国上市公司股权集中度的实证分析》,《经济研究》,2002年第8期。
[38]刘烷松:《股票内在投资价值理论与中国股市泡沫问题》,《经济研究》,2005年第2期。
[39]宋琳:《价值投资理念呼唤私募资本市场建设》,《统计与决策》,2003年第6期。
[40]孙培源、范利民:《涨跌幅限制与投资者过度反应:一个基于均衡价格估计的经验研究》,《世界经济》,2004年第4期,17-22页。
[41]万解秋、郑红亮:《资本市场与投资分析》,上海:复旦大学出版社,2002年,301-307页。
[42]吴晓求:《中国资本市场:股权分裂与流动性变革》,北京:中国人民大学出版社,2004年。
[43]易宪容:《股市牛蛇》,北京:华夏出版社,2003年,43-46页。
[44]应展宇:《经济运行中的中国股票市场功能视角》,《经济理论与经济管理》,2005年第2期。
[45]赵志君:《股票价格对内在价值的偏离度分析》,《经济研究》,2003年第10期。
[46]刘幌松,《股票内在投资价值理论与中国股市泡沫问题》,《经济研究》,2005年第2期。
[47]许健、魏训平:《价值取向投资模型及其实证研究一对中国沪深股市A股的实证分析》,《金融研究》,2004年第5期。
[48]聂祖荣:《价值投机是价值投资必经之路》,《证券导刊》,2004年第45期。
[49]傅依、张平若:《公司价伯评估与证券投资分析》,北京:中国财政经济出版社,2001年。
[50]李诗林、李扬:《沪深股票市场过度反应效应研究》,《管理评论》,2003年第6期,41-45页。
[51]马小佐:《不确定性证券投资价值评估》,《资木市场》,2005年第9期。
[52]宋逢明、李翰阳:《中国股票市场波动性的分解实证研究》,《财经论丛》,2004年第4期。
[2] Arthur, W, Increasing Returns and the New World of Business, Harvard Business Review, 1996 (July-August).
[3] Bruce C. N. Greenwald, Judd Kahn Paul D. Sonkin and Michael Van Biema, ValueInvesting: from Graham to Buffett and Beyond ,New York: John Wiley&Sons,2001(3).
[4] Campbell .J .Y .and Shiner R J., Stock Price Earnings, Expected Dividends journal of Finance, 1988(43), pp. 661-676.
[5] Chan, K,On the Contrarian Investment Strategy, Journal of Business, 1988 (61),pp. 147-163.
[6] Chopra, N., Lakonishok J. and J. Ritter, Measuring Abnormal Returns: Do Stocks Overreact Journal of Financial Economics, 1992 (31),pp. 235-268
[7] Daniel, K., Hirshleifer D., and A. Subrahmanyam, Investor Psychology and Security Market Under and Overreaction,Journal of Finance, 1998 (53), pp. 1839-1885.
[8] Edward and Paul J. H Schoernaker, Managing Overconfidence, Sloan Management Review, 1992(Winter),pp.7-17.
[9] Fama, E. and K. French, The Cross-Section of Expected Stock Returns, Journal of Finance, 1992 (47),pp.427-466.
[10] Frailey Fred W, Goldwasser Joan,The Fine Art of Value Investing ,Kiplinger's Personal Finance Magazine, 1999( Mar), p. 108.
[11] Graham, B., and D. Dodd,Security Analysis,McGraw-Hill, New York, 1934.
[12] Hersh Shefrin, Meir Statman, Behavioral portfolio theory,Journal of Financial and Quantitative Analysis, 2000 ,pp. 127-151.
[13] Jegadeesh, D. and S. Titman,Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 1993 (48),pp.65-91.
[14]Kahneman,D.,Slovic R,and A.Tversky eds,Judgment Under Uncertainty:Heuristics and Biases,Cambridge:Cambridge University Press,1982.
[15]Kuhn SusanE.,Value investing is hot,most growth stocks ale not,Fortune,1992,p35.
[16]Lakonishok,J.,Shleifer A.,and R.Vishny,Contrarian Investment,Extrapolation and Risk,Journal of Finance,1994(49),pp.1541-1578.
[17]Lo.Andrew W.and C.Mackinlay,Data-Snooping Biases in Tests of Asset Pricing Models,Review of Financial Studies,1990(3),pp.431-467.
[18]Oppenheimer Henry R,A Test of Ben Graham's Stock Selection Criteria,Financial Analysts Journal,40,p68.
[19]Rousseau Roland,Van Rensburg Paul,Time and the payoff to value investing,Journal of Asset Management,2004(Feb),p318.
[20]Siegel Laurence B,The Future of Value Investing,Journal of Investing,2000(Winter,p.33.
[21]王明华:《金融土程和金融效率相关问题研究》,中国经济出版社,2001年第1期。
[22]李茂生,苑德军:《中国证券市场问题报告》,北京:中国社会科学出版社,2003年。
[23]黄良文:《投资估价原理》,北京:科学出版社,2002年。
[24]王孝德、彭艳:《价值投资策略:国际经验和中国实证》,深圳证券交易所,2002年
[25]陈耀年、周学农:《价值投资策略的行为金融学解释及其实证研究》,《系统工程》,2005年7期
[26]周正庆:《证券市场导论》,北京:中国金融出版社,1998年。
[27]安德鲁·史密瑟斯、史蒂芬·赖特:《华尔街价值投资》,海口:海南出版社,2001年。
[28]李心丹等:《中国个体证券投资者交易行为的实证研究》,《经济研究》,2002年11期。
[29]陈浪南等:《资本资产定价模型的实证研究》,《经济研究》,2000年4期。
[30]陈忠阳:《金融风险分析与管理研究》中国人民大学出版社,2001年。
[31]邹小亢:《我国证券市场回报率过度反应的实证分析》,《经济科学》,2003年第4期,23-26页。
[32]景乃权、叶庆祥、陈新秀:《证券市场羊群行为的机理及其在中国的应用》,《国际金 融研究》,2002年第8期。
[33]沈艺峰、吴世农:《我国证券市场过度反应了吗》,《经济研究》,1999年第2期,58-64页。
[34]孙友群,陈小洋,魏非:《价值投资与中国股市对接的思考》,《财经理论与实践》,2002年第4期,65-67页。
[35]万解秋、郑宏亮主编:《资本市场与投资分析》,复旦大学出版社,2002年第10期。
[36]成思危:《诊断与治疗:揭示中国的股票市场》,北京:经济科学出版社,2003年,150-154页。
[37]冯根福、韩冰、闰冰:《中国上市公司股权集中度的实证分析》,《经济研究》,2002年第8期。
[38]刘烷松:《股票内在投资价值理论与中国股市泡沫问题》,《经济研究》,2005年第2期。
[39]宋琳:《价值投资理念呼唤私募资本市场建设》,《统计与决策》,2003年第6期。
[40]孙培源、范利民:《涨跌幅限制与投资者过度反应:一个基于均衡价格估计的经验研究》,《世界经济》,2004年第4期,17-22页。
[41]万解秋、郑红亮:《资本市场与投资分析》,上海:复旦大学出版社,2002年,301-307页。
[42]吴晓求:《中国资本市场:股权分裂与流动性变革》,北京:中国人民大学出版社,2004年。
[43]易宪容:《股市牛蛇》,北京:华夏出版社,2003年,43-46页。
[44]应展宇:《经济运行中的中国股票市场功能视角》,《经济理论与经济管理》,2005年第2期。
[45]赵志君:《股票价格对内在价值的偏离度分析》,《经济研究》,2003年第10期。
[46]刘幌松,《股票内在投资价值理论与中国股市泡沫问题》,《经济研究》,2005年第2期。
[47]许健、魏训平:《价值取向投资模型及其实证研究一对中国沪深股市A股的实证分析》,《金融研究》,2004年第5期。
[48]聂祖荣:《价值投机是价值投资必经之路》,《证券导刊》,2004年第45期。
[49]傅依、张平若:《公司价伯评估与证券投资分析》,北京:中国财政经济出版社,2001年。
[50]李诗林、李扬:《沪深股票市场过度反应效应研究》,《管理评论》,2003年第6期,41-45页。
[51]马小佐:《不确定性证券投资价值评估》,《资木市场》,2005年第9期。
[52]宋逢明、李翰阳:《中国股票市场波动性的分解实证研究》,《财经论丛》,2004年第4期。