The Empirical Research Of Value Investment Strategy In The Chinese Stock Market

Value investing strategy is put forward by Graham, the father of securities analysis.It refers to buy stockswhen the stock price is lower than its value and to sell stocks when the price is higher than its value. Value investing can assist investors in the stock market overheating when it sold, and short in the stock market atmosphere as rob to buy. Value investing abroad has decades of history, has stood the test of the market. More and more scholars in China’s stock market hasstudied this problem and found that China’s stock market value vision, value investment strategy.The innovation of this article is not only using one dimensional financial index to distinguish value stock and hot stocks, but also using the company’s fundamentals and the combination of market indicators, namely one eye staring at the listed company to look for a good company, the other eye staring at the share price in the market to look for undervalued stocks, because the company doesn’t mean good stock. Return on capital and momentum factors as the index to distinguish between stocks, value vision for China’s stock market research, choose to return on equity (ROE) high or momentum factor (Levy27) and P/E ratio (P/E) of the market valuation indexes such as low sample value stock portfolio. The stock market in China, the p/e ratio, price-to-book, price-to-sales ratio and return on capital factor and combination of momentum factor as the index value stocks and hot stocks, divided into investigation under the two-dimensional value indicators divided the value of the portfolio and the popular portfolio yield difference and value portfolio will not bring more risk.This article is divided into five parts, the structure is arranged as following:The first part, the paper introduces the research background, research purpose of this article, combing the relevant research literature and the research status at home and abroad, and puts forward problems need to study in this paper.The second part, the paper introduces the theoretical knowledge involved in this paper.The third part, this paper introduces the research methods, this paper use selection on the stock exchange in1993-2014all in a-share listed company data as sample data. The fourth part, carries on the empirical analysis. The first step in using one dimensional strategies such as price-to-sales ratio, price-to-book ratio, p/e ratio, return on assets (ROE), and the momentum factor (Levy27, stock price divided by its price)27weeks ago as indicators to build value investment portfolio. The second step using two-dimensional strategy. Will first price-to-sales ratio, simple price-to-book ratio, p/e ratio of two combined with constructing portfolio, the second will return on capital (ROE), respectively, and the city pin, price-to-book ratio and p/e ratio combining constructing portfolio, finally the momentum factor (Levy27, stock price divided by its price)27weeks ago and the city pin, price-to-book ratio and p/e ratio combining value stocks and divided into hot stocks, compare their earnings. In one dimension value strategy and the value of two-dimensional yield performance of hot stocks and value stocks, and test its significance. Finally, the risk assessment. Verifies strategy based on the two kinds of value when the value of shares in excess of benefits will bring a higher risk. Research under different value investment strategy in every month get value stocks and hot stocks income difference and its significant difference, test under the condition of the market downturn, value stock returns is better than that of hot stocks.The fifth part, this article summarizes the empirical analysis, and put forward the corresponding policy recommendations.Through empirical research, this paper mainly to the following conclusion:In this paper, through theoretical analysis, and based on P/E, P/B, P/S one dimensional statistical analysis it is concluded that the value of a portfolio investment is relatively popular portfolio investment can get excess returns. Using the return on capital factor (ROE), the momentum factor (levy27) as a one-dimensional index value stock portfolio and divided into hot stocks portfolio, analysis the same value portfolio yield performance is superior to the popular portfolio returns. Based on P/E, P/B, P/S, ROE,levy27two combined with two-dimensional index value of the value of the investment strategy division portfolio and popular portfolio, through statistical analysis found that not only value ortfolio performance is superior to the popular portfolio return, at the same time significance level increased.In this paper, the study found that the value of a portfolio investment with hot a portfolio investment income differences associated with the market overall performance. Portfolio in the bull market value and income differences between popular portfolio than a bear market, the stock market rise stage of the value of stock portfolio yield performance is much better than hot stock portfolio returns, the difference of income is bigger. Through the statistical analysis, this paper found that when investors use value investment strategies get excess returns does not take more risks.