中国股市基本面价值加权投资组合研究

Fundamental Indexation in Chinese Stock Market

基本面价值加权投资组合是近年来在美国兴起的新型投资理论和技术.其基础是噪声市场假说和价格回归价值。本文回顾了基本面投资组合的相关文献,解释了其建立的理论基础和模型.本文还根据平滑市值权重技术,构建了基于中国股票市场的基本面投资组合,并和传统的市值加权投资组合进行比较。本文的主要结论是,中国市场1992年到2002年和美国市场类似呈现平稳价格噪声,基本面投资组合总体优于市值加权组合.股权分置改革初期市场低落,市场价格过度低估基本面价值,市值组合占优势。2005年下半年来股市呈现一定泡沫特征,市场价格对基本面价值有过度高估趋势,间接地证明了相关部门对股市过热的警告和监管是合理的.

Fundamental indexation is a new investment theory and methodology. It is based on the noisy market hypothesis and price mean reversion. In this study, we review relevant literature and elaborate some theoretical properties of fundamental index portfolio. More importantly, we present empirical analysis of a fundamental index portfolio for Chinese stock market. The main conclusion is that Chinese stock market is similar to the U.S. market from 1992 to 2002 showing stationary pricing noise. The market is overall undervalued with negative mean-aversion noises from 2002 to the first half of 2005 due to the reform of the non-tradable shares and the shareholder structure of listed companies. After a quick mean-reversion, the market has shown evidence of overheating with positive mean-aversion noises since then. These findings indirectly indicate that there are investment bubbles in the recent Chinese stock market and that the related governmental regulations are reasonable.