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| 价值投资策略在中国A股市场的可行性——基于几项财务指标的研究 | |
| 引用本文： | 林树,夏和平,张程.价值投资策略在中国A股市场的可行性——基于几项财务指标的研究[J].上海立信会计学院学报,2011,25(1). |
| 作者姓名： | 林树 夏和平 张程 |
| 作者单位： | 1. 南京大学会计学系,江苏,南京,210093;南京大学会计与财务研究院,江苏,南京,210093 2. 南京市高淳县国家税务局,江苏,南京,211300 3. 南京大学会计学系,江苏,南京,210093 |
| 基金项目： | 国家自然科学基金重点项目(0932003); 国家自然科学基金青年项目(71002025)国家社会科学基金重大招标项目(08&ZD050) |
| 摘 要： | 根据过度反应假说,文章以中国沪深A股市场上市公司为研究样本,对价值投资策略的绩效进行分析。参考Lakonishok,Shleifer and V ishny(1994)的研究方法,文章以E/P、B/M、C/P、GS等财务指标为选股指标构造投资组合。实证结果发现,除以个别指标构造的投资组合外,价值组合之持有收益率在持有期前两年显著高于魅力组合,而在第三年则没有发现显著差异。在考虑规模效应的影响后,依然发现价值组合之持有收益率显著高于魅力组合。研究结论认为,价值投资策略在中国股票市场依然适用。 |
| 关 键 词： | 价值策略 持有收益 价值组合 魅力组合 |
Feasibility of Value Strategy in A Share Market of China:Research Based on Several Financial Indicators |
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| LIN Shu,XIA He-ping,ZHANG Cheng.Feasibility of Value Strategy in A Share Market of China:Research Based on Several Financial Indicators[J].Journal of Shanghai Lixin University of Commerce,2011,25(1). | |
| Authors: | LIN Shu XIA He-ping ZHANG Cheng |
| Institution: | LIN Shu1,2,XIA He-ping3,ZHANG Cheng1(1.Department of Accounting,Nanjing University,Nanjing Jiangsu 210093,China,2.Research Institute of Accounting and Finance,3.Gaochun National Tax Bureau,Nanjing Jiangsu 211300,China) |
| Abstract: | According to the overreaction theory,the research investigates the performance of value investment strategy based on several financial indicators and the result derived is based on the data of A share listed companies in Shanghai & Shenzhen Stock Exchange.Referred to Lakonishok,Shleifer and Vishny(1994),the paper selects some financial indicators,such as E/P,B/M,C/P and GS to construct the investment portfolio.The result reveals that the return of the value portfolio performs better than that of glamour por... |
| Keywords: | value strategy holding returns value portfolio glamour portfolio |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |