文档介绍：山西财经大学
硕士学位论文
基于相对估值方法的股票价值投资策略分析
姓名:赵海
申请学位级别:硕士
专业:金融学
指导教师:杨秀昌
2010-03-29
摘要
价值投资理论的核心思想是“寻找价值被低估的股票并长期持有”,该理论
经过近百年的发展,得到众多投资者的认可和推崇。我国股市经历了近年的
发展,价值投资理念在股票投资中已经有了一定的体现,不过,仍然有许多投
资者尤其是中小投资者并不注重价值投资,盲目跟风和投机思想依然影响着投
资者的投资决策。鉴于此,论文对价值投资理论进行了系统梳理,对价值投资
的估值方法做了详尽的比较与分析,试图结合我国证券市场的发展现状,提出
一种基于相对估值方法的价值投资策略,即以相对估值方法寻找价值被低估的
股票,以合适的投资期限,适度的投资组合进行价值投资的策略。
论文对不同的相对估值方法的适用性及其决策效果进行了实证分析与检
验,一方面通过多元线性回归模型验证股票投资收益率与相对估值指标呈负相
关关系另一方面对低市盈率组合、低市净率组合和低市销率组合的收益率进行
了实证分析与比较,结果表明,低市盈率组合和低市销率组合都可以获得超过
市场平均水平的收益率,但低市净率组合表现较差。
论文进一步分析了基于相对估值方法的价值投资策略中的投资期限和持股
集中度问题,立足于异常收益率,采用描述性统计方法对不同决策的投资效果
进行了比较分析,结果表明,不论是市盈率策略还是市销率策略,持有只左
右的股票投资三年的效果最好;集中投资于市盈率和市销率都低的这只股票,
可以获得更高的投资收益率,不过风险较大。

【关键字】价值投资相对估值持股集中度期限
3
Abstract
The core idea of the value investment theory is “to look for undervalued stocks and hold them
in the long term”. In nearly a century the theory has been recognized and respected by many
investors. China's stock market has experienced nearly 20 years of development, value investment
philosophy has been accepted by some investors, however, there are still many investors, especially
medium and small investors are not focusing on value investing, blindly following the trend and
speculating. In view of this, the paper sums up value investment theories, comprehensively
compares and analyses the methods of value investment methods, trying to proposed a investment
strategy based on relative valuation method, that is the relative valuation approach to find
undervalued stocks and invest in the appropriate period, with moderate portfolio.
This paper on the relative valuation of different methods of application of its decision-making
effect of the empirical analysis and test On the one hand, verified by multiple linear regression
model and relative stock investment returns were a negative correlation between the valuation
indexes. On the other hand, low PE ratio portfolio, combined with low book value a