价值投资%3a中国A股市场的实证.pdfVIP

价 值投 资 ： 中国 A 股 市场 的实证 A B S T R A C T For m any year s, scho lar s an d investm en t profe ss iona ls have ar gu ed tha t va lu e stock s ou tp er form gr ow th stock s in m o st dev e lop ed m ark ets an d em erg ing m arket s. A n d th er e ar e tw o exp lana t ion s for th e va lu e pr em ium . W ith th e h igh deve lopm en t o f th e Ch in ese stock m ark et, va lu e stra teg ie s a ttract in cr ea s ing a tten t ion. Th is ar t ic le form s va lu e stock por tfo lio s and grow th stock portfo lio s ba sed on P/E, P/B ，P/S, P/C and WASG, and g ives a com preh en sive resear ch on va lue stra teg ies in Ch inese stock m arket. On the one hand, by app ly in g one- d im en s iona l c la ss if icat ion an d tw o- d im en siona l c la ss if ica t ion , w e illu stra te th e ex ce ss r etu rn o f va lu e stock por tfo lio to grow th por tfo lio. Then w e m ake r egr e ss ion of stock r eturn s on va lu e var iab le s to iden t ify w h ich of the se var iab le s hav e s ign if ican t impact on stock r eturn s. A n d w e a lso g iv e th e exp lana t ion s for va lu e str ategy by emp loy ing CAPM m ode l an d Tw o- Fa ctor . On the o th er hand, w e exp lo it w hether va lu e stra teg ies are w ide ly emp loyed b y investor s in th e Ch inese stock m arket an d its exp lana t ion s. W e form in st itu t iona l inv e stor p or tfo l io an d in d iv idu a l inv estor por tfo lio , an d com par e r eturn s of th e tw o por tfo lio s to va lu e stock portfo lio an d grow th stock portfo lio, th en w e stu dy th e dec ile s o f va lu e var iab le s o f the tw o p or tfo lio s. Our research argue tha t, va lu e stock portfo lio s ou tp erform grow th stock por tfo lio s in th e Ch in e se stock m ark et, an d the va lue pr em ium spr in