| December19,1990Shanghai stock exchange opened marked the our country securities market has started to form. From1990to2011, in the21years, China’s stock market experience from scratch, by a deserted in until the hype, the policy until the dominant reform of non-tradable shares of stock index futures, launch. In the21years,a share market from the low market value of147billion to the highest when the45.7799trillion.The Shanghai composite index years17.5%annual rate of growth. But2011years of Chinese stock market it to one sentence:night back to ten years ago. By December30,2011, the Shanghai composite index down20%year, closing points and the lowest since three and a half years, and the Shanghai index back to the level of10years ago. China’s stock market valuations long-term on the high side, average p/e is often to dozens of times.But now has been reduced to the lowest level in history, and the international main market basic quite.Has the long-term investment value, initiating a rational investment, the best time to meet. The value investment as a rational investment philosophy, in foreign markets have proved the effectiveness. Guide the investors use the value investment strategy. It for the stock market optimize the allocation of resources, and the function of the healthy and stable development has a very important practical significance. This paper will be of value investment strategy in the Chinese stock market applicability for empirical research, and put forward the corresponding policy.This article is divided into six chapters, the concrete content as follows:The first chapter introduction.This paper mainly discusses the research background and significance.At home and abroad were elaborated on the value of the investment strategy research status, And the research situation separately from the value investment strategy can be in the stock market get excess profits and excess profits source two aspects of classification summary. This paper also points to the research contents, the research methods, thoughts and the innovation of this article and limitations.The second chapter, introduction to the theory of value investment. First describes the foreign scholars the value investment theory hypothesis and the meaning.Analyzes the buffett, graham and fisher the value investment theory and its similarities and differences. And expound the text after in the empirical study of stock index used division.In the third chapter,in our stock market value investment suitability analysis. First describes the value investment idea in China’s development after the initial stage, acceptance, adored period, question, and the period of four times. According to China’s present situation analysis the second value investment idea in China securities market feasibility. Finally expounds the value investment idea of Chinese stock market the significance of the development. The value investment has the stable market, promote the quality of listed companies improve and improving investment profits investors significance.The fourth chapter,the value investment strategies in Chinese stock market applicability of empirical research. This chapter is divided into two parts.The first part of the first reference Fama and French research methods Use than book market value (B/M),earnings per share and share price (E/M) as the index value investment combination and grow into investment portfolio. According to the research with French Fama, B/M, E/M high value of the company for the value investment stock, B/M, E/M value of low investment company for the growth stocks.This paper will be A share market stock B/M, E/M the maximum value of the top30home stock portfolio will B/M, E/M minimum value of the30stocks is divided into growth portfolio.The statistics are two combination of yield of the year. Because this paper need to calculate the combination of three years after the building return, so this paper can only calculation01until two combinations of yield. The final analysis found that value relative to the growth portfolio investment portfolio made excess return rate. Prove the value investment strategy in the Chinese stock market is suitable, the excess yield can be obtained. The second part of the excess returns to theoretical explanations. For this part of the source of the excess yield academic to basically have two kinds of explanation. One is the Fama and French, as a representative of the "risk change hypothesis," The explanation from returns and risks of matching Angle to explain excess profits, Adhere to the efficient market theory, belongs to the category of modern standard finance. The other one is the De Bondt and Thaler, as a representative of the "excessive reaction hypothesis,".This explanation is that investors from irrational behavior explanation excess yield. This part of the first reference of the three factors and French Fama model adopted earlier data regression.The empirical results show that traditional CAPM model to explain the excess return ability is weak.The value investment combination growth relative portfolio excess yield is due to its different B/M value of the decision.Then this paper using De Bondt Thaler and the "excessive reaction hypothesis" inspection two combinations of excess yield.The two portfolio in the inspection of the average total return one year with a picture of says.Graphics and found not showing excessive reaction.The empirical results also and "excessive reaction hypothesis" do not tally.Chapter5conclusions and policy recommendations.This paper first based on theoretical analysis and empirical analysis value investment strategy in the Chinese stock market can get extra yield.Proved the value investment in the Chinese stock market is applicable.Excess profits can be made by Fama and French,as a representative of the "risk change hypothesis" explanation. Finally put forward to promote the healthy development of the capital market, promote the popularization of the value investment idea policy Suggestions. |
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