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财经科学 FINANCE&
2003/ 3总198 ECONOMICS
【金融论坛】
价值股与成长股不同市场表现的实证研究
蔡海洪1 吴世农2
[内容摘要] 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。
[Abstract ] 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 - re
action hypothesis and Risk - changed hypothesis. This paper adopted the data of A’stocks in the Shanghai Secu
rities Exchange Market , regard the B / M (Account value of equity / Value of market) as the standard to sepa
rate 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.
[关键词] 价值股(Valuable stocks) 过度反应假说(Over - reaction hypothesis)
成长股( Grow - up stocks) 风险改变假说(Risk - changed hypothesis)
[中图分类号] F275 1 [文献标识码] A [文章编号] 1000 - 8306 (2003) 03 - 0001 - 04
作者简介: 蔡海洪, 男, 厦门大学管理学院厦门 361005
吴世农, 男, 厦门大学管理学院厦门 361005
1987) 的研究, 他们以股票过去 3 年或 5 年的累积超常收
一、引言
益率为标准将股票划分为赢家与输家, 赢家为过去累积超
些年来, 国外大量的实证研究