沪深A股市场市盈率与投资组合超额收益关系的实证研究

An Empirical Study on the Abnormal Return of Investment Portfolio in Relation to Their P/E Ratio in the Shanghai and Shenzhen A-share Market

市盈率是衡量个股风险和投资价值的重要指标,目前主流的观点偏向于认为低市盈率股票投资价值高,能带来超额收益。本文根据2005年-2009年沪深A股市场个股市盈率与超额收益率的数据,通过对比分析、方差分析和相关性分析发现:在1年的投资周期上,总体上"高市盈率投资策略"战胜了"低市盈率投资策略";同时,在1年期的投资周期上,市盈率与超额投资收益率之间不一定存在相关性关系。

Price-earnings ratio is a measure of risk and value of stock. The relationship between priceearnings ratio and abnormal return has great significance on investment decisions. This paper based on the data of price-earnlngs ratio and abnormal return of investment portfolio in the Shanghai and Shenzhen A-share market from 2005 to 2009. Through comparative analysis, variance analysis and correlation analysis, we find out that China A-share market does not exist ＂low price-earnings ratio effect＂ or ＂high price？earnings ratio effect＂.