Empirical Analysis Of Value Investing Strategy In China’s Stock Market

China’s stock market have gone through a century of the road of developed countries by 20 years, which is a brilliant achievement, but with the formation of opposition to the development of capital market is the lack of investment beliefs and policies, not only ordinary investors c annot shar e the benefits brought about by t he r apid development of China’s economy through the stock market, but loss with scarred in the chaos of the market, that the stock market is considered merely a scam to misappropriating listed company. In contrast, value investing in the United States and other developed countries has been shown to bring a steady stream of income to investors. So this paper attempts to explore the applicability of the policy in China.I combine theoretical analysis method with empirical research method to research in this paper. In the theoretical analysis, I firstly explained the core concept of value investing, and introduced three value investing guru specific investment strategies, which have been applied in the empirical study. In the empirical analysis, I construct three different types of value portfolio with PE method, PB method and Lynch method based on 1998-2015 data, then examine whether it can obtain excess returns by comparing with the market returns, and compared the returns of three strategies in order to analyze the advantages and disadvantages of each strategy, to evaluating the most effective investment strategy.My conclusions show that value investing strategy can get much more than the market’s in the long run. It proves value investing strategy is applicable. Finally, this paper made some policy recommendations to help to build a better capital market.I expect to find a suitable trading strategies for small investors in the stock market, so some of my investment strategy is different from other researchers, I want share more investment dividend by removing from large companies to small companies who has health finance and develops rapidly. This strategy seems radical, but it is suitable for the rapidly developing country of China. The result of this paper confirms this conclusion. the most effective investment strategy.