股票内在价值评估理论在我国的适用性研究——基于投资收益的实证比较精选.docx

I论文摘要随着我国股票市场在国民经济中的地位日益明显，与人民群众的关系日益密切，二级市场的股票定价理论日益受到重视。由于我国的股票市场有其自身的特点，西方的股票定价理论在我国股票市场的适用性需要经过检验。内在价值评估理论作为价值投资理念的核心，检验其在我国股票市场的适用性，也可以检验价值投资策略的适用性。本文在介绍内在价值评估理论及其模型发展衍变过程的基础上，比较了各模型在理论上的优点与不足，之后通过文献回顾介绍了内在价值理论在我国股票市场运用的现状，以及国内外对于内在价值理论各模型适用性比较的实证研究成果。在“合理预期”的假设下，对1999-2005年度有年报数据的780家上市公司，分别利用绝对内在价值评估理论下的股利折现、股权自由现金流量折现、EBO、EVA模型和相对内在价值的市盈率、市净率、市销率模型计算内在价值，利用价值投资策略构造投资组合，通过比较各组合的收益率来评判各模型的适用性，结果显示，在信息完全的假设下，价值投资策略可以取得高于市场回报的收益率，内在价值评估模型具有一定的实用性，尤其是EBO模型和EVA 模型。在实证分析的基础上，结合我国股票市场的特点，对内在价值运用中遇到的困难的产生原因进行了深层次的分析。并对增强内在价值评估理论的适用性、推广价值投资理念所需的制度性建设给予了一些建议。关键词：股票内在价值评估理论适用性实证研究AbstractAs Chinese stock market has become very important in thenational economy, the relationship between stock market and the peoples day-lifehas becomeevenclose,stockpricingtheoriesinsecondarymarkethavebeenpaid more attention. Since Chinese stock market has its own characteristics,the practicabilityofwesternstockpricingtheoriesinChinesestockmarketmust beenempiricallytested.IntrinsicvaluetheoryisthecoreofValueInvestment. Thepracticabilityofintrinsicvaluetheorycanalsoreflecttheapplicabilityof ValueInvestment.This paper compares the advantages and disadvantages ofdifferent intrinsicvaluemodels,onthebasisofintroductiontointrinsicvaluepricing models and the evolution process. Then we review the literatures onthe intrinsic value theory used in Chinese stock market, the literatures onthe applicability of intrinsic value models at home and abroad by empiricalcomparison. Under the assumption of reasonably expected, we calculate the intrinsic value of 780 companies by DD、FCFE、EBO、EVA model, andtheir P/E、P/B、P/S，whichannualreportdataarelistedin1999-2005.Thenwe construct investment portfolio by value investment strategy, judge theapplicabilityofthemodelbycomparingtheyieldoftheportfolio.Theresults show, under the assumption of complete information, the yield ofvalue investment can be made higher than the market average return, intrinsicvalue pricingmodelshavecertainpracticality,