| 价值型投资在中国证券市场上的有力证据 |
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| 引用本文： | 韩其恒,于旭光.价值型投资在中国证券市场上的有力证据[J].上海财经大学学报,2007,9(1):79-85. |
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| 作者姓名： | 韩其恒 于旭光 |
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| 作者单位： | 上海财经大学金融学院 上海200433 |
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| 基金项目： | 国家自然科学基金;国家"211"工程建设项目 |
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| 摘 要： | 本文给出了1994年至2005年间价值型投资在中国A股市场中的有力证据。Fama—MacBeth回归表明在中国A股市场中存在着显著的市盈率和市净率溢价，1994年至2005年中牛市和熊市的滚动策略显示了我国A股市场中的价值效应，并且风险和收益之间基本上呈现出收益大、风险大的特征。本文的实证研究结果将有助于中小投资者以及机构投资者的长期投资决策。
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| 关 键 词： | 市盈率 市净率 价值型投资Fama-MacBeth回归 滚动策略 |
| 文章编号： | 1009-0150（2007）01-0079-07 |
| 修稿时间： | 2006-06-25 |
The Evidence of Value Investment Strategy in Chinese Stock Market |
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| HAN Qi-heng,YU Xu-guang.The Evidence of Value Investment Strategy in Chinese Stock Market[J].Journal of Shanghai University of Finance and Economics,2007,9(1):79-85. |
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| Authors: | HAN Qi-heng YU Xu-guang |
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| Institution: | School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China |
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| Abstract: | In this paper,we find the striking evidence of value investment in Chinese A-share stock market for the period 1994~2005.The Fama-MacBeth regressions show that there exists a significant value premium for both the low P/E ratio and the low P/B ratio.We also establish the rolling strategies in the period 1994~2005 and in the bull and bear market,which confirm the value effect in Chinese stock markets.Furthermore,this paper demonstrates that there is an almost perfect trade-off relationship between return and risk for value strategy.The results of this paper will be helpful for small investors as well as institutional investors to make their long-term investment decisions. |
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| Keywords: | P/E ratio P/B ratio value effect Fama-MacBeth regressions rolling strategy |
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