相关估价法在我国A股投资运用中的实证分析

中南民族大学硕士学位论文相关估价法在我国A股投资运用中的实证分析姓名：程久君申请学位级别：硕士专业：企业管理指导教师：陈卫平20050515I2003QFIIAA19992003A19992003571AAA19992003AAADEDEAII1999200120022003IIIAbstractSince2003,especiallyQFIIhadbeeninvestedA-shareandgotgenerousprofit,domesticinvestorsareinclinedtothevalueinvestmenttheorymoreandmore,withthevalueinvestmenttheorycoming,itseemsmoreandmoreimportanttoinvestorfromhomethatunderstandandgraspthevalueinvestmentmethod.Withallsortsofrestrictionsoftherealisticfactor,theoperationofcashflowdiscountmethodandoptionvaluationisnotveryuseful,anditisverydifficulttobegraspedandusedbyvastmediumandsmallinvestors,whilerelativevaluationashorizontalanalogymethod,adoptwiththesameorsimilarenterpriseandcarrythemonvaluetocomparetoconfirmthevalueofthecompany,glamouritslieinsimpleeasyandsuitablecanobtainthevalueofassessingassetsrapidly.Thentothem,itisamoresuitablechoiceintheorytoadoptrelativevaluation.Butintheactualcombatofourcountry'sA-share,itiseffectivewhetheritcanbringtheexcessincomewinningthebigbid?Toherein,thistextconstructsastockpricevaluationmodelofrelativestockpricemethod,from1999to2003asobservationalperiod,examinetheirvalidityinA-shareinvestmentusingdemonstrationresearch.Onarranginginstructureinthistext,atfirstmakeoverallretrospectofthechangesofinvestmenttheoryofourcountry’sinvestorandmakesufficientanalysisonthemeaningandsystemoftheirinvestmentinrecentyears,tomakeusfullyrealizethevalueinvestideainourcountry'sstockmarketonthefar-reachinginfluenceemergingwhilemakingtheinvestmentinrecentyears;Secondlydodeepstudyingtothetheoreticalfoundationsofrelativevaluation,inordertoannouncethisinherentrationalityintheoryofmethod;Finallywith3indexescommonlyusedinrelativevaluationandPBVleadintothereturnonnetassets,PSleadintoprofitratetoformtwodimensionalindex,these5kindsofinvestmentanalysisstandardsstructurethevaluationmodelofstocks,itwasobservationperiodfrom1999to2003,fetch571A-sharesofstockmarketsofShanghaiandcollectindustryfortheoverallsampleanddivisionpressingtheindexofstockmarketsofShanghaiseparately,commerce,realestate,publicutilities,comprehensivetypemakerealexampleanalysisinordertoprovethatrelativevaluationininstructingtheA-shareofourcountryiseffective.Butathome,thedemonstrationresearchonrelativevaluationisfew,notoveralleither,theanalysisindexadoptedisconcentratedonp/eratiomainly,isnotalmostanalyzedaboutotherindexandrealexampleofearningratio,thistextputsthisfiveindexestogetherwithstockmarketearningratioandmakesthehorizontalcomparativeAIVanalysisbetweenrealexampleanalysisandindex,attempttofillinthisblank.Analysisanddrawthroughtherealexample:Itwasaninvestmentperiodfrom1999to2003,regardedmoreroughA-sharesofShanghaistockmarketassamples,underestimatecombinationwintheracewithover-evaluatecombinationandindexremarkablyinthe5schemes,itprovesthatrelativevaluationhavestrongervalidity.RegardingA-shareofthewholeShanghaistockmarketsassamples,tomediumandsmallinvestor,D,Eschemecanyetberegardedasverygoodinvestmentreferenceindexinthesefivekindsofschemes,Dschemehashigherprofitability,Eschemehasstrongerapplicationandeffectiveness.Tootherthreeschemes,comparativelyspeaking,thePBVtobeundoubtedlystrongerthanothertwoindexes.Intheoperationofrealstockmarket,itsisasacriterionofselectingstocks,thisnarrowedrightsmartinrangeselectingstocks,inaddition,lightedconcreteassurancetothedealofthequotationatthattime,believethestratagemensuringsuccessofimprovementinvestorsthatcanbegreat,reducelosses.Adoptrelevanttoappraiselawcomeguidancemaketheinvestment,comeincomeinvestedtoconsiderintermsofstaticvaluemainly,astogrowthpremium,methodthisexplaindynamicstobestrong,sotocomprehensivepersonalsharewhenanalyzingrealexample,theanalysisresultofeachkindofschemeisindisorder.Whetherthroughand2002realexampleanalysisresultsfortwoobservationperiodsthesecomparewithandfindto2003from1999to2001.Theremarkableinfluenceonthestockmarketofinvestor'sbehavior,appraiseakindofappraisalmethodthatlawinvestrelevantlyasvalue,itsvalidityneedstoregardreasonofinvestor'sbehaviorassupport.Demonstrationresultshowthattherelativestockpricemethodbecamemoreandmorevalidintheactualcombatofinvestmentwiththeinvestors'maturity.Butbecausethestockmarketofourcountryisstillatdevelopingstage,relevantlegalsystemregulationsareincomplete,thetheoryofvalueinvestmenthasnotreallybecomemainstreamyet,weneedtotakesomemeasurestoperfectthestockmarketofourcountryprogressively,giveinvestorsasteady,healthy,rationalinvestmentenvironment.Toproposingthefollowingsuggestionherein:Strengtheninvestorseducation.Continuestrengtheningthecultivationofinstitutionalinvestors.Makerelevantlegalsystemperfect,especiallystrengthenthedisclosureofinformationofthelistedcompanytosupervise.Solvetheproblemthatthestate-ownedstockcirculates.KeyWordsRelativevaluation;Demonstrationanalysis;Valueinvestment;PE;PBV;PS1______2-1-12003QFIIAA1.11.1.1Basu(1977)CAPMGoodmanPeavyFamaFrench19631990PBV(Price-bookvalueratio)1985RosenbergReidLansteinPBV19731984PBV361987SenchackMartinPS(Price-to-salesratio)PS1988JacobsLevyPS19781986PS0.17%1.1.2200392001530A-2-1.2AAA1A232003ASTPTBH1999112003