中小板市盈率投资组合与股票收益研究

中小板企业上市后业绩下滑，并未表现出与其高水平市盈率相匹配的成长性。通过构建市盈率投资组合，对比分析后发现企业的高市盈率可能是由于相对于其股价而言，每股盈余较低所致；基于低市盈率的投资组合投资策略具有高收益、低风险的特点，我国中小板市场存在市盈率效应，但不能被规模效应所解释。该研究结果为中小板市场的研究提供了经验数据，结论对于中小板投资者具有一定的启示意义。

P/E Ratio Portfolio and Stock Returns on Small and Medium-sized Board

Performance of Small and Medium-sized Enterprises fells obviously, which differs to its high P/E ratio. By constructing P/E portfolio, we find that the low earnings per share, relative to the stock price, may contribute to the high P/E ratio; Portfolio strategy based on the lower P/E ratio can achieve higher yield with lower risk, which denotes that P/E ratio effect exists in Small and Medium-sized Board. However, this phenomenon cannot be explained by scale effect. This paper provides empirical data for the study of SME board and is of enlightening significance to investors of SME board.