巴菲特的阿尔法:来自中国股票市场的实证研究

Buffett's Alpha: Evidence from China Stock Market

本文检验了巴菲特价值投资策略在中国股票市场的适用性。本文首次从安全性、便宜性以及质量3个维度构造了综合性指标B-score,用于刻画巴菲特的价值投资风格。研究发现,在控制了多个横截面指标和不同市场状态后,B-score对股票未来收益还有很好的预测能力。即使在2015～2016年的极端市场环境中,B-score策略仍然可以获得正回报。本文从行为金融角度发现信息逐渐扩散过程和投资者的有限注意等解释可以帮助理解B-score策略的盈利能力。本研究为价值投资策略在中国市场的适用性提供了有力的证据。

Using Chinese A-share stock data from 2005 to 2016, we test whether the Warren Buffett's investing style strategy is profitable in the Chinese stock market. We construct a comprehensive measure B-score to capture the characteristics of Buffett-style strategy in three dimensions, including safety, cheapness and quality. We find that B-score has a strong explanatory power for cross-sectional stock returns, and the predictive power of B-score is robust and persistent.The profitability of B-score strategy is even positive during the extremely volatile period of 2015-2016. We further show that the gradual information diffusion, investor limited attention and lottery-like stocks feature could help understand our findings. This paper provides the strong evidence that value investment strategy works in the Chinese stock market.