基金重仓持股与上市公司内在价值的相关性研究

Research on the Correlation between Funds Weigh Storehouses and Intrinsic Value of Listed Companies

结合中国内地股市发展的基本面环境,研究基金重仓持有股份与相应的上市公司内在价值的经济联系,探寻基金重仓持股行为背后的价值判断是否基于价值识别要素的理性分析,从而产生对上市公司价值的正确反应。根据对中国沪深A股市场2006～2008年基金重仓股的实证检验,发现:近三年中期报告披露的基金重仓持股比例,与上市公司年初的市净率密切相关。并且,伴随着中国股市的发展状况,每股净资产和每股股权自由现金流指标对基金重仓持股行为也具有显著的影响。表明中国沪深A股市场近年来的基金重仓持股行为,具备一定理性投资的特征。但是,基金重仓持股对上市公司内在价值的反应还不够充分。

Based on the analysis of Chinese mainland stock market,this paper studies the correlation between funds weigh storehouses and intrinsic value of listed companies.We want to know whether the decision making behind the funds weigh storehouses is based on the rational choices,which can result in good response to the value of listed companies.This paper makes an empirical study on funds weigh storehouses from 2006 to 2008 in the A-shares of Shanghai and Shenzhen stock markets.We find that in interim reports of the recent three years,the holding ratio of funds weigh storehouse is significantly correlated with the P/B ratio of listed companies at the very beginning of each year.Moreover,the net asset per share and the free cash flow of equity per share also have remarkable influence on funds weigh storehouses.This shows a certain degree of rational choices for the funds investment.However,it is not sufficient enough for funds weigh storehouses in responding the intrinsic value of listed companies.