摘要
价值溢价的普遍存在性已无可争议，但有关价值溢价表现特征的研究却很少。基于1994～2012年的月收益率数据，以沪市A股为研究对象，本文考察了中国股市价值溢价的表现特征，并与以美国为代表的成熟股市进行了比较。我们的经验分析结果显示中国股市价值溢价具有与美国显著不同的表现特征：（1）短期看，市盈率具有相对较好的价值溢价预测能力，但长期看，市净率具有更强的预测能力；（2）大市值股票的价值溢价高于小市值股票；（3）持有期越长，投资者所获得的平均价值溢价越低；（4）价值溢价在牛市中为正，在熊市中为负。
It is well accepted the existence of the value premium, but research on the characteristics of the value premium is scarce. This paper examines the characteristics of the value premium in China＇s stock market, using monthly data of common stocks listed on ShangHai Stock Exchange from January 1994 to December 2012, and then compares them with that of U.S. markets which is the a representative of mature markets. Our result shows that the value premium of Chinese stock market has significantly different characteristics from that of America： （1） PE has good predictive power for value premium in short term. However in the long run, PB is a more powerful predictor for value premium. （2） The value premium of big stocks is higher than that of small stocks. （3） The average yearly value premium decreases with the holding period. （4） The value premium is positive in bull market and negative in bear market.
出处
《投资研究》
北大核心
2014年第8期109-124,共16页
Review of Investment Studies
基金
辽宁省教育厅人文社会科学重点研究基地专项项目"中国股市的波动率效应与低波动率策略研究"(ZJ2013038)的资助
关键词
价值溢价
表现特征
中美比较
Value Premium
Characteristics
Comparative Analysis of China and U.S.A.
