ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
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- Creators: Shen, Wei
通过因子实证检验方法,选取通过检验的6个有效估值因子和6个有效成长因子构成价值成长投资策略中的选股指标体系。最后利用我国A股市场上所有股票(创业板除外)从2006年至2018年的历史数据来进行该策略的有效性实证研究,在对构建的三种投资组合的超额收益率进行比较。经实证检验,发现双维度的价值成长投资策略要优于单维度的价值投资策略和成长投资策略,其对预测股票下一期收益率具有非常好的效果,而且具有很好的股票市场区分度。具体来说,价值投资策略的平均超额收益率为11.22%,成长型投资策略的平均超额收益为6.82%,而价值成长投资策略的平均超额收益远超上述两种投资策略为21.27%。
本文从价值策略和成长策略的角度,尝试验证价值成长投资策略在我国A股市场的适用性。一方面,研究结果丰富了我国股票市场的投资策略,拓宽了现有价值成长策略的研究,另一方面,对于广大投资者们具有一定的参考意义,我国股市未来的发展趋势是由投机渐渐向成熟理性市场转变。