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中文摘要：
利用边际条件随机占优（M CSD）方法对中国A股市场进行了价值成长效应的检验,选取2000~2007年申银万国全市场A股股价指数日收益率作为市场核心组合的基准,分别选取市盈率和市净率指数作为价值/成长型股票的划分指标,将核心组合划分为互斥的子组合。运用M CSD两两比较子组合,发现依据E/P指标划分的价值型股票占优于成长型股票,市场组合存在显著的价值成长效应,且该效应仅在下降市场中显著;而依据B/P指标划分的成长型股票占优于价值型股票,且仅在2005年之后的上升市场中显著。研究结果表明,上市公司财务特征可以部分地作为投资者考察股票收益的一个思路,在不同的市场条件下,投资者应根据不同的财务指标进行投资判断。
英文摘要：
This paper investigates the value effect in Chinese A stock market by using MCSD.Shenyin Wanguo A stock market index is selected as the core portfolio,and the value and growth stock subsets are constructed respectively based on the P/E and P/B index.By comparing the subsets for MCSD,the results show that the value effect exists in China A stock market based on the P/E criteria,especially in bear market;whereas there is a reverse effect for the subset with P/B criteria,which is significant in the bull market after 2005.The results show that the financial information could be partly taken into account when making investment decision.In different market conditions,investors should refer to different financial multiples.
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