价值投资在我国证 券市场的适用性研究-金融学专业论文.docxVIP

摘 要 经过二十多年的摸索前行，我国的资本市场已经飞速发展，取得了很大的 成果。但是在股票市场中，投资理念的缺失造成投机氛围严重，甚至危害到了 经济的发展。而价值投资方法在发达国家已经被证明其有效性，本文试图研究 价值投资在中国市场的适用性问题。 本文主要采用理论分析和实证研究相结合的研究方法。在理论分析中介绍 了三位价值投资大师的主要思想，并且运用到实证研究中去。在实证研究方法 中运用3种方法构建投资组合，来验证价值投资在中国的适用性。三种方法分别 是低市盈率法，低市净率法，还有综合指标选股法。文章根据2004年到2013年 十年在沪深交易所上市交易的A股股票作为样本，每年分别运用上面三种方法 建立组合并计算收益率情况，通过检验组合是否有超额收益，以此来验证价值 投资在我国股票市场的适用性问题。 接下来作者根据资本资产定价模型（CAPM），对第三章实证分析中三种方 法所取得的超额收益原因进行分析。 最后根据前面实证分析的结果，得出价值投资在中国市场是适用的结论。 为了推进我国资本市场更加健康的发展，为了股票市场融资作用和投资作用更 好的实现，为了股票市场能够为社会优化资源的配置，笔者提出了几条政策建 议希望能够为建设更好的资本市场和更好的中国添砖加瓦。 关键词：价值投资， 市盈率，市净率，净资产收益率 Abstract Chinas capital market has made a lot of progress after 20 years hard exploration. However, with the absence of appropriate investment idea and theory, the phenomenon of speculation prevails in stock market, which causes many problems to the development of economics. Since the effectiveness of value investment has been proved in western developed countries, whether it would well apply to Chinas market will certainly be a meaningful topic and therefore this article will discuss about the appropriateness of value investment in China. This article is demonstrated in both theoretical analysis and empirical analysis. In the theories part, the writer introduces the major thoughts of three value investment masters, and the application of the theory in the test analysis. In the empirical part, the writer uses 3 methods to construct investment portfolio to testify the investment value is applicable in china or not .The three methods are based on low price earnings ratio, low price to book ratio, and stock selection by comprehensive index. The article is based on the A stocks traded in SZ and SH exchange from 2004 to 2013. The writer uses the three methods to calculate the portfolio earing ratios, then examine the portfolio excesses earnings or not. In this way we can figure out whether the value investment is applicable and effective or not for Chinas Stock market. Afterwards, the author will analyze the reason fo