市盈率指标在中国股票市场应用的实证研究

华中科技大学硕士学位论文市盈率指标在中国股票市场应用的实证研究姓名：黄艳申请学位级别：硕士专业：企业管理指导教师：夏新平20050421IGDPGDP20002002IIABSTRACTTheP/Eratioisthemarketpricepershareofafirm’scommonstockdividedbythemostrecent12monthsofearningspershare.Itplaysaveryimportantroleinfinancialanalysis,andit’samainmeasurewheninvestorsmakedecisions.Inordertojudgethepriceofcertainmarketorcertainindustry,wecouldcalculatethemarketprice-earningsratio.Theinvestorscoulddistinguishmarketriskbyanalyzingthemarketprice-earningsratio,andgainhigherreturnbystudyingtheprice-earningsratioofcompanies.Atfirst,wecompareandanalyzetherelationshipbetweenthemarketprice-earningsratioofShanghaiStockExchangeandShenzhenStockExchangeandthreeeconomicfactors:thegrowthrateofGDP,thecirculatingrateofthewholemarketandtheannualdepositinterestrate.Wefoundthatthemarketprice-earningsratioispositivewiththeGDP’sgrowthratebutnegativewiththeinterestrate.Thereforewhenweevaluatetheinvestmentvalueofastockmarket,we’dbetternotjustcomparethemarketprice-earningsratioofdifferentcountriesandjumptoconclusion.Weshouldalsofocusonthefactorsthatareinfluencingtheratio.Next,wefoundthattheprice-earningsratioincludesthepotentialgrowthofthecompany’searningbyanalyzingthedataofShanghaiStockExchange.Ifacompanyhasahigherpriceearningsratio,itwouldhavehigherearningspersharegrowthrate.Moreover,thereisacertaindegreeofthelowprice-earningsratioeffectexistinginChinesestockmarket.Weusethecumulativeadjustedreturns(CAR)toevaluatefuturestockreturnsofinvestorsandfoundthattheportfolioswithlowprice-earningsratiocouldhaveahigherfutureexcessreturn.Attheendofthepaper,wegivesomepiecesofadvicetoinvestorsonhowtousetheprice-earningsratioinChinesestockmarket.KeyWords:Price-EarningsRatio,GrowthRateofReturn,CumulativeAdjustedReturns,ThePrice-EarningsRatioEffect.111.1PriceEarningsRatioP/E2020BenjaminGraham1934Basu1977CAPMβP/ESize2BV/MVCAPM2001200335-4020GDP32%31.21.2.1123441.2.212345522.12.1.11CraggMalkiel1982LitzenbergerRao1971Fairfield19941970198495Penman1996Ohlson1995NormalBenchmarks1+1/r1BeaverMorse19782Ball1978100%106103BoatsmanBaskinl981Graham1962BeaverMorse1978ModiglianiMiller1966Pt=E*/rE*rE*=E+P=E(1/r)=E(P/E)Alfordl9922.1.2BeaverMorse1978ChowdhryTitman2001ParkSangkyun200019541998S&P50075-8Zarowin1990NikabakhtPolat1998Ramcharran2001211992-1999GDPGDPRamcharran2002212001AllenCho1999200399%95%90%82.2=/=/×=/=/BlanchardWatson1982AllenGorton1993KaneMarcusNoh1996Volatility20012001NASDAQ1998372592002A2003EBO20015%20200220012001102.360MV/BVP/EBasu197716.3%9.34%CAPMP/ECAPMCAPMβP/ESizeBV/MVCAPM201997199511199819941996123ModernPortfolioTheoryMPTMarkowitz1952AbnormalReturnCAPMβMarketAdjustedAbnormalReturnRitmtititRRAR−=RititRmtt1934Graham12Nicholson1960GrahamBasu1977CAPMReinganum1979FamaFrench1992MV/BVFamaFrench1993ChanHamaoLakonishok1991OuPenman1989aOuPenman1989bPenman19961968198613ROEBernardThomas1997Higgledy-PiggledyGrowthBrealey1967LinterGlauber1967TT+=12FamaFrench1992FullerHubertsLevinson199219931973-19901433.13.1.1=1/3-1=/3-23.1.2115=/3-3=∑=3.11993-20031993199419951996199719981999200020012002200342.4829.6715.7131.3239.8632.9637.0958.2237.7134.4336.5442.6910.379.3535.4239.8630.5936.356.0439.7936.9736.191993-20033.11993199520003.1.3Harold20021660%70%90%1=+K/3-4K2003K1.01.52.030%-40%20-30200212201.01.52.023.528.834.243.82004172=+/3-5ChenandXiong200270%-80%Chong-EnBai200433-6=/3-620043.2182025200336.5436.1912070806084%GDPGDP21910%102%50360%70%41GDP5203.32518043.70%26.54%iitittRDEP)1(1+∑=+∞=3-7PttDt+1t+iREtKDt+1=KEPSt+13-7titiittEPSEPSRkEEPSP+−∞=+∑=)1()/(13-83-821titiitttEPSEPSRRGRkEEPSP+−∞=+∑++=)1(1)/(23-9GRtt+1ttttEPSEPSGR1+=3-10∏−+=−+−+++==1111itjitititittitGREPSEPSEPSEPSEPSEPS3.11iijjtittRGRkEEPSP)1()/(111+∑=∏=−+∞=3-12RGRt+ii=1,2,3…..2Fairfield19942000221993199420001994199752344.14.1.1GDPiiiiiLLGDPGLTBHEPεββββ++++=3210_/(4-1)iiiiiLLGDPGLTBSEPεββββ++++=3210_/(4-2)P/E_Hii24P/E_SiiLTBiiGDPGiiGDPLLiii4.1.2199320031993NETSTAQ://=0.264,F=2.196,Sig.F=0.1764.20.1VIF10R20.264F2.196GDPGDP4.34.30123101.985-198.872.899-416.84t2.033-1.8020.907-2.429t0.0820.1050.3950.0450.8050.2150.218VIF1.2424.6474.588AR2=0.461,F=3.8529,Sig.F=0.064264.30.1VIF106.4%0.623F3.8529GDP2.899-296.59-416.84GDPGDPGDP274.24.2.113-1P/Ei2GRi:11−−−=iiiiEPSEPSEPSGR(4-3)3INDUi10428LSIZEi5LTBi6DEBTiiiiiiiiDEBTLTBSIZEINDUGREPεββββββ++++++=+5432110/(4-4)4.2.220031231A1AABHBHA2199919993PE0PE1000419992001200036220013412002331A291997