价值投资策略在我国市场应用

AGOUTAIJUNANSECURITIIES2ValueStrategiesFamaFrenchEMHIrrationalBehaviorNaivestrategiesContrarian/BMB/P/E/P/D/P/C/P1995-200211995-20028BP14.20%8.97%EP23.03%14.86%2363/BMB/P/E/P/D/P/C/PGlamourstocksValueStrategiesB/MFamaFrench1992,1995,1997Lakonishok,ShleiferVishny1994FamaFrench1997Hart,SlagterDijk2001FamaFrenchEMHCAPMAPTFamaFrench1992,1995,1997IrrationalBehaviorLakonishok,ShleiferVishny1994Porta,Lakonishok,ShleiferVishny1997LSVContrarianModelB/ME/PB/MNaiveNaivestrategiesContrarian4FamaFrench1997Hart,SlagterDijk2001ChanHamaoLakonishok19911FamaFrench19971975-957.6%131211HLBMEPCDH-LB/MB/MB/MFamaandFrench,1997,ValueversusGrowth:theInternationalEvidence,UniversityofChicago,WorkingPaper.B/MC/PD/PB/PE/PD/PC/P16B/M16.91%27.60%6.80%7.65%5.56%2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%H-LB/MH-LE/PH-LC/PH-LD/P52S-B(FundamentallyRiskier)?FamaMarkowitzFamaSizeB/PtheCross-SectionalVarianceBehaviorofEarningsB/PFamaFrench1993,1995LakonishokAgencyProblemCohenCohen,PolkVuolteenaho2001Present-ValueModel151516.91%4.04%14.89%14.13%10.43%8.70%0.00%5.00%10.00%15.00%20.00%H-LB/MH-LE/PS-B6B/MPersistenceB/MB/MPersistence20%58%26%B/M15B/MDispersion20%80%B/M20%80%B/PE/PD/PC/P30%30%8ECD/P30%30%D/P200E/P30%19951120021231C/P1999112002123181995-20021999-20027BP3BP1995-2002HBPBPLBPBP4BP1999-2002-100.00%0.00%100.00%200.00%300.00%400.00%500.00%600.00%95-1-395-4-395-7-395-10-396-1-396-4-396-7-396-10-397-1-397-4-397-7-397-10-398-1-398-4-398-7-398-10-399-1-399-4-399-7-399-10-300-1-300-4-300-7-300-10-301-1-301-4-301-7-301-10-302-1-302-4-302-7-302-10-3HPBLPB-10.00%10.00%30.00%50.00%70.00%90.00%110.00%99-1-499-3-499-5-499-7-499-9-499-11-400-1-400-3-400-5-400-7-400-9-400-11-401-1-401-3-401-5-401-7-401-9-401-11-402-1-402-3-402-5-402-7-402-9-402-11-4HBPLBP85BPH-LBP11995-20028BP254%14.20%8.97%1999-2002BP29.51%7.38%4.37%H-LBP0.963-5H-LBP1H-LBP-50.00%0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%400.00%450.00%95-1-395-4-395-7-395-10-396-1-396-4-396-7-396-10-397-1-397-4-397-7-397-10-398-1-398-4-398-7-398-10-399-1-399-4-399-7-399-10-300-1-300-4-300-7-300-10-301-1-301-4-301-7-301-10-302-1-302-4-302-7-302-10-3H-LBP9EP6EP1995-20027EP1999-2002-100.00%0.00%100.00%200.00%300.00%400.00%500.00%600.00%700.00%800.00%900.00%95-1-395-4-395-7-395-10-396-1-396-4-396-7-396-10-397-1-397-4-397-7-397-10-398-1-398-4-398-7-398-10-399-1-399-4-399-7-399-10-300-1-300-4-300-7-300-10-301-1-301-4-301-7-301-10-302-1-302-4-302-7-302-10-3HEPLEP-20.00%0.00%20.00%40.00%60.00%80.00%100.00%120.00%99-1-499-3-499-5-499-7-499-9-499-11-400-1-400-3-400-5-400-7-400-9-400-11-401-1-401-3-401-5-401-7-401-9-401-11-402-1-402-3-402-5-402-7-402-9-402-11-4HEPLEP108EPH-LEP1995-20028EP471%23.03%14.86%1999-2002EP18.13%3.82%2.95%6-8H-LEP0.981996-1997H-LEP,1999H-LEPDPCPDP19991999C/P-100.00%0.00%100.00%200.00%300.00%400.00%500.00%600.00%700.00%800.00%95-1-395-4-395-7-395-10-396-1-396-4-396-7-396-10-397-1-397-4-397-7-397-10-398-1-398-4-398-7-398-10-399-1-399-4-399-7-399-10-300-1-300-4-300-7-300-10-301-1-301-4-301-7-301-10-302-1-302-4-302-7-302-10-3H-LEP11αBPEP1995-20028α7.15%10.82%α-3.53%-5.63%1999-20024BPEPα2.87%2.26%α-1.97%-0.53%12FamaFrenchSizeB/M11,HEP0.92,11995-2002HBPLBPHEPLEP0.00380.00170.00450.00130.00240.04430.04430.04270.05720.04520.18830.04640.24710.01680.0986Alphas0.0015-0.00070.0023-0.0012-Betas0.95160.99170.91721.0138-0.83020.91600.83010.9024-ifmifwieRRRR+−+=−)(βαRwiRf2.5%RmiAlphasBetast5%21999-2002HBPLBPHEPLEP0.00190.00090.00180.00120.00130.03270.03260.03160.03290.03120.08400.02070.07740.0392%0.0479Alphas0.0006-0.0004*0.0005-0.0001*-Betas1.01660.99220.98431.0236-0.94560.90610.94530.9456-*t10%5%191291999HBPLBP1999PBHPBL4-55l2B/MB/MB/M5BP1999-2002PB1018199519961998200120023l0.00%5.00%10.00%15.00%20.00%25.00%30.00%199619971998199920002001LBPHBP13101PBV=PBGSpread=PBG-PBV3TimingTiming1366VGPBER−−=1426.04505.06R2=0.28841882(29.70)(-27.63)ER6=6PBG-V=t66CohenPBG-V8PBG-V115PBG-VPBG-V0.002.004.006.008.0010.0012.0095-2-195-5-195-8-195-11-196-2-196-5-196-8-196-11-197-2-197-5-197-8-197-11-198-2-198-5-198-8-198-11-199-2-199-5-199-8-199-11-100-2-100-5-100-8-100-11-101-2-101-5-101-8-101-11-102-2-102-5-102-8-102-11-1PBVPBGSpread1411PBG-V1995-20028BP14.20%8.97%EP23.03%14.86%6PBG-V0500100015002000250095-2-695-5-295-7-2595-10-1996-1-1296-4-1996-7-1596-10-1097-1-697-4-1497-7-1197-10-897-12-3198-4-1098-7-698-9-2898-12-2399-4-699-6-3099-9-2299-12-2300-4-300-7-300-9-2500-12-2501-4-301-7-301-9-2501-12-2502-4-502-7-502-9-2702-12-300123456789PBG-V15Chan,LouisK.C.,YasushiHamao,andJosefLakonishok,1991,FundamentalsandStockReturns,TheJournalofFinance,Volume46,1739-1789.EugeneF.FamaandKennethR.French,1992,TheCross-SectionofExpectedStockReturns,TheJournalofFinance,Volume47,427-465.EugeneF.FamaandKennethR.French,1995,SizeandBook-to-marketFactorsinEarningsandreturns,TheJournalofFinance,Volume50,131-155.EugeneF.FamaandKennethR.French,1997,ValueversusGrowth:TheInternationalEvidence,UniversityofChicago,WorkingPaper.JosefLakonishok,AndreiShleifer,andRobertW.Vishny,1994,ContrarianInvestmentExtrapolationandRisk,TheJournalofFi