价值溢价:中国股票市场1994-2002 被引量：18

Value Premium: An Empirical Study of China Stock Market(1994 - 2002)

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摘要依据1994-2001年底的各年度总计4903家仅发行A股(其中深市2307家样本,沪市2596家样本)的上市公司样本财务数据,本文构造了1995-2002年间持有1年期的各种投资组合,并逐一考察其组合业绩,证明了中国股市存在显著的价值溢价。CAPM模型较好地解释了HB/M组合的投资溢价,而加入HB/M组合和G组合溢价之差这一解释因子提高了模型的拟合度。在HR/M组合溢价与规模溢价之间存在相反趋势关系的结论下,股票规模的选择可能不是构造能够取得超额报酬的投资组合的有效方法。过高的价值溢价则可能表明中国股市总体上尚未形成价值投资风格,对HB/M类公司的信息挖掘尚不充分。 Based on the financial information on total 4903 sample companies with only issuing A share from 1994 -2002, this paper argues that HB/M investment strategy of taking and holding for one year can produce significant value premium in China stock market. CAPM model provides good explanation for the value premium, and goodness of fit of the model is improved after the independent variable HB/M - G is added. The negative correlation between portfolio performance of HB/M and G implies that the size effect may not an alternative measure for choosing effective portfolios. High return of HB/M portfolio may indicates that the investors pay less attention to value stocks and the market have not in general formed the value investment style.

作者王晋斌

机构地区中国人民大学经济学院

出处《金融研究》 CSSCI 北大核心 2004年第3期79-89,共11页 Journal of Financial Research

关键词价值溢价 HB/M和G组合 S和B组合 value premium, HB/M and G portfolio, S and B portfolio

分类号 F832.5 [经济管理—金融学]

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参考文献18

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