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论文编号：	4296
作者编号：	2120102314
上传时间：	2012/6/6 20:03:22
中文题目：	中国价值投资选股与投资组合回报率的研究
英文题目：	Stock Selection of Chinese Value Investment and Return on Investment Portfolio
指导老师：	齐岳
中文关键字：	价值投资，选股，财务特征，投资组合
英文关键字：	Value investing, Security Selection, Financial ratio, investment portfolio
中文摘要：	风靡全球的价值投资理念在中国却未占据主流。本文首先探讨巴菲特的投资理念是否适应于股权分置后的中国证券市场，因为价值投资的理论基础在于股价长期内会随着公司盈利的增加而增长，通过分析2001-2010年符合上市条件的所有上市公司的盈利增长，结果显示有超过50%的企业能够保持8%的年平均增长率，说明我国的股市整体基本具备价值投资的基本条件。但由于可投资企业的比例并不高，而且鉴于中国股市尚不成熟，庄家操盘、内幕交易现象严重等原因，一般股民想要在股市中成为赢家，如何正确选股成为投资的关键所在。鉴于中国资本市场与西方资本市场由于社会制度、经济环境的不同而存在差异，作者提出了关于投资周期、股票种类、安全边际、考虑宏观因素四点价值投资的修正，然后进行了价值投资选股简化过程的演示。首先根据中国未来十年的经济影响因素选择了13类二级行业，再考察每个行业的公司分布情况等情况以及出于研究目的等原因剔除掉部分行业到最后的5类二级行业，最后依据企业城墙原则分别从这5类行业中选取一支价值投资股票，组成价值投资组的五支成分股。整个选股过程都用2001-2010年的数据支持了选股方法的合理性。然后，通过价值投资公司在该行业的财务比率排名总结了价值投资股票的财务指标共性，并将这五大公司2006-2010年的各项财务指标与回报率进行回归性分析，与现有的研究相对比，来分析适合价值投资的股票其财务指标与回报率的关系是否与整体股市有差异以帮助价值投资者选股。最后，本文深入分析了价值投资五支股构建的投资组合与公司治理十支股票投资组合、GICS的十大行业股投资组合在2010-2011年周回报率的对比，结果显示，价值投资股在股市低迷时期会有较优的表现。
英文摘要：	The Buffett’s investing way is recommended all over the world but in China. Dose it still not suit for Chinese stock market which is expanding equity division reform? Based on the analysis of Shanghai and Shenzhen stock markets’ data between 2005 to 2010, the author holds that the modified Buffett value investing is one of the best way for the ordinary shareholders to avoid lose and make profit, because the Chinese stock market is handled by bankers so the stock price always change dramatically that never can be forecasted in a short time. This article also summarizes some financial ratios characters of the high-quality stocks which selected in modified Buffett way, by analyze the relating data. Based on the theoretical foundation of value investment, we choose 5 companies firstly, and then by analyzing Shanghai and Shenzhen stock markets’ data from 2005 to 2010, the author holds that the modified Buffett value investing is one of the best ways for the ordinary shareholders to avoid losing and making profit. The main reason is the Chinese stock market always changing dramatically and never can be forecasted in a short time. And then we build 5 groups of portfolio proportion for the 5 value investing firms and the 10 top of CCGINK respectively, based on the monthly stock return of 2006 to 2009. Lastly, we compare the two groups’ weekly stock return of 2010 to 2011. The results showed that the stock return of the company which is high ranking in CCGINK list is significantly better than enterprise picked out by value investing way.
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