价值股与成长股不同市场表现的实证研究

国外大量的实证研究发现价值股的市场表现显著地优于成长股 ,对这个现象的解释主要分为过度反应假说和风险改变假说两大学派。本文以上海证券交易市场A股为样本 ,以B/M(权益的账面价值与市场价值比 )为标准划分价值股组合和成长股组合 ;实证结果发现价值股组合的收益明显优于成长股组合 ,而且两种组合的收益各自都呈现出反向修正的模式 ,符合过度反应假说 ;同时本文采用资产资本定价模型来检验两种组合 ,实证结果不支持风险改变假说。

Many foreign positive studies discovered that the valuable stocks behaved much better than the grow-up stocks in the market. The explanations for this phenomenon mainly divided into two hypotheses: Over-reaction hypothesis and Risk-changed hypothesis. This paper adopted the data of A' stocks in the Shanghai Securities Exchange Market, regard the B / M (Account value of equity / Value of market) as the standard to separate the valuable stock group and the grow-up stock group. The studying result is that the gains of the valuable stock group is obviously more than the grow-up stock group, so sustained for the Over-reaction hypothesis but not for the Risk-changed hypothesis.